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Here is the list of recordings of those lectures that were taught remotely.
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None so far
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Stochastic Calculus for Finance II - Continuous Time Models
by Steven Shreve
(Springer, 2004; ISBN 978-0-387-40101-0)
(the "SCF2 text", also just "SCF2") -- REQUIRED:
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I will strive to teach major portions of ch.1 through 6 from that book.
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Additional References (Optional):
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Math 454 - Additional Material (lecture notes for the BU Math 454 course)
by Michael Fochler
(the "MF454 notes" or simply "MF454").
This document is in flow and I make no promises as to how much of the course
material I will document there. Almost all of the material in chapters 2 and 3
of this first (2022-10-30) version is a straight copy from my Math 330
version 2020-11-28 lecture notes
(see below), but most of ch. 4 (Basic Measure and Probability Theory) you will
find neither there nor in the Shreve text, so you should look at that.
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2023-04-21 version
Minor fixes and improvements, mostly for ch.14.
Addenda to Ch.13 have been added
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2023-04-08 version
Minor fixes and improvements, mostly for ch.14.
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2023-03-16 version
Addenda to chapter 8 contain the solution to quiz6 #1.
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2023-03-12 version
The addenda chapters contain the solutions to most of the HW7 assignments
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2023-03-10 version
The solution for midterm 1 can be found in several of the addenda chapters.
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2023-03-02 version
Addenda to ch.7 chapter now contains the solution for problem 2 of quiz 5.
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2023-02-28 version
A few corrections, mostly to ch.7.
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2023-02-01 version
Corrections to ch.5-6 + unlocking of several proofs
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2023-01-17 version
Corrections to ch.2-4.
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2023-01-10 version
Small additions (American Call Options) + corrections.
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2023-01-02 version
This is the first version of my Spring 2023 lecture notes for this course
which I do not consider anymore to be preliminary.
There still will be some corrections and some additions,
and at least one more release will be forthcoming before the start of the semester.
so I still advise you not to print any hardcopies yet!
This 2023-01-02 version has a new subchapter 9.1, titled
"Prologue: The Budget Equation in Continuous Time Markets."
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Brownian Motion Calculus
by Ubbo F. Wiersema
(Wiley, 2008)
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Stochastic Calculus for Finance I -
The Binomial Asset Pricing Model
by Steven Shreve
(Springer, 2004)
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If you have some background in measure theoretical probability theory:
Stochastic Differential Equations: An Introduction with Applications
by Bernt Oksendal
(Springer, 6th edition, 2003)
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Remedial Math: Sets, functions, equivalence relations, convergence
and continuity, ...
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The Art of Proof: Basic Training For Deeper Mathematics,
by M. Beck and R. Geoghegan (Springer, 2010).
You should review:
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chapters 5, 6.1, 9.1
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Math 330 - Additional Material (lecture notes for the BU Math 330 course)
by Michael Fochler
(the "MF330 notes" or simply "MF330").
Review the following:
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ch. 2.1-2.3, ch.5, ch.8.1, 8.3, 8.4, ch.9.3,
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ch.11 (except for ch. 11.2.2 and 11.2.3).
Here is a link to the
2022-10-06 version
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It is the latest version for the Fall 2022 semester.
Here is a link to the
2020-10-22 version
.
Most of chapters 2 and 3 of the Math 454 lecture notes is based on this version.
For newer versions of the Math 330 lecture notes check my
archive
of all my lectures.
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Useful for exam prep:
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Formula collection
for the final exam
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