- Two Weeks, Period 1 (followed by Financial Mathematics)
- John van der Hoek (University of Adelaide)
- Week 1: Tuesday 17–18h, Week 2: Wednesday 15–16h in Carslaw Room 633.
- take home exam to be posted to Dr John van der Hoek, School of Mathematical Sciences,
The University of Adelaide, SA 5005 by date TBA.
- Probability preliminaries [including sigma algebras, filtrations and conditional expectations,
- Brownian motion and its characterrizations
- Ito integrals and related integrals
- Ito’s Lemma
- Stochastic Differential Equations
- Partial Differential Equations and Feynman-Kac formula
- Changes of Probability and Girsanov’s Theorem
- Martingale representation theorems