Literature and Links
Lecture notes
  • van Handel, R., Stochastic Calculus, Filtering, and Stochastic Control, Lecture notes, Princeton University, 2007.
  • Shreve, S., Stochastic Calculus and Finance, Lecture notes, 1997.
  • The Mathematics of Finance, Lecture notes. (Thank you Shane)
  • Varadhan,S.R.S., Stochastic Processes, Lecture notes, AMS 2007. (Thank you Mardi)
  • Bass,R., Lecture notes for Stochastic calculus, with applications to finance, PDE, and potential theory , University of Connecticut.
Date Discussion by Topic Files
19-Nov-10 Vitali Introduction slides handout
17-Dec-10 Vitali Conditional Expectations and Binomial trees slides
14-Jan-11 Firmin Portfolio choice slides
28-Jan-11 Paul Consumption-Saving Decision with Optimal Risky Asset slides
11-Feb-11 Mardi Jumps and Betas, discussion of Todorov and Bollerslev (2010) link to paper