The course is an advancecd study of theoretical econometrics. The goal is to give an introduction to stochastic calculus. It starts with an introduction to probability space, continuous random variable, mean and variance. Then, we introduce Brownian motion which is the main theoretical tool of this course. Finally, we consider theoretical applications to financial price. However, this course is purely theoretical and does not require to study with a software or with data.
Students must be familiar with probability space, continuous random variable, mean and variance.
The evaluation will be based one final take-home exam.
The class follows the notes.
The final take-home exam should be printed or handwritten and handed to me in the final class. It is available here.