Transcription of A Brief Introduction to Stochastic Calculus
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A Brief Introduction to Stochastic Calculus
IEOR E4706: foundations of Financial Engineeringc 2016 by Martin HaughA Brief Introduction to Stochastic CalculusThese notes provide a very Brief Introduction to Stochastic Calculus , the branch of mathematics that is mostidentified with financial engineering and mathematical finance. We will ignore most of the technical details andtake an engineering approach to the subject. We will only introduce the concepts that are necessary forderiving the Black-Scholes formula later in the course. These concepts include quadratic variation, stochasticintegrals and Stochastic differential equations. We will of couse also introduce It o s Lemma, probably the mostimportant result in Stochastic Martingales, Brownian Motion and Quadratic VariationWe make the following assumptions throughout.
IEOR E4706: Foundations of Financial Engineering c 2016 by Martin Haugh A Brief Introduction to Stochastic Calculus These notes provide a very brief introduction to stochastic calculus, the branch of mathematics that is most identi ed with nancial engineering and mathematical nance. We will ignore most of the technical details and
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