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課程名稱 |
隨機微積分
STOCHASTIC CALCULUS |
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開課學期 |
94-2 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
張志中 |
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課號 |
Fin7052 |
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課程識別碼 |
723 M9600 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期二5,6,7(12:20~15:10) |
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上課地點 |
新數102 |
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備註 |
碩、博士班主修財工組必選。
限本系所學生(含輔系、雙修生) |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
Brownian motion, continuous time martingales, It?s integration, It?s formula, local martingales, stochastic differential equations, representation theorem, Girsanov theory, and some other topics, e.g. diffusions, Feynman-Kac formula. |
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課程目標 |
Brownian motion, continuous time martingales, It?s integration, It?s formula, local martingales, stochastic differential equations, representation theorem, Girsanov theory, and some other topics, e.g. diffusions, Feynman-Kac formula. |
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課程要求 |
Course prerequisite:
Probability theory I. Course number: 221 U3410 (measure theory, probability space and random variables, law of large numbers, central limit theorems, discrete time martingales)
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預期每週課後學習時數 |
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Office Hours |
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指定閱讀 |
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參考書目 |
1. Stochastic Calculus and Financial Applications. J.M. Steele, Springer, 2001.
2. Stochastic Differential Equations, an Introduction with Applications. Bernt 噅sendal, Springer, 5th edition corrected second printing, 2000.
3. Stochastic Calculus: A Practical Introduction. R. Durrett. CRC-Press, 1996
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
Homework and recitation |
60% |
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2. |
Report and final exam |
40% |
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