Stochastic Calculus (NEW)

Many business or financial processes are occurring randomly every moment, but business managers or investors need to monitor them constantly as well as predict their future short-term and long-term movements to propose appropriate action plans. For instance, stock investors always want to update their current stock values as well as the future stock price movement directions. Sale managers also want to predict the number of customers buying their products next months for better business plans. This course aims to equip students’ knowledge and skills to meet such business demands. In particular, students learn about properties of different random processes, how to model some random phenomena by suitable discrete or continuous random processes and how to simulate possible future movements of the phenomena. Several case studies are presented in the course so that student can learn and practice to solve business problems. This course also offers a strong foundation for further advanced applications on financial derivative pricing, portfolio optimization.