Time & Location: Tuesday & Thursday 9:25-10:40 in Herzstein 211
Required Text: Stochastic Calculus and Financial Applications, by J. Michael Steele.
Instructors:
Chris Calderon
Office: ???? Duncan Hall (DH)
phone: 2695 (longphone: +1-713-348-2695)
email: calderon@rice.edu
Office Hours:
TBA
AND
Dennis D. Cox
Office: 2095 Duncan Hall (DH)
phone: 6007 (longphone: +1-713-348-6007)
email: dcox@rice.edu
Office Hours:
TBA.
Description: This course will cover both theory and applications of stochastic differential equations. Topics include: the Langevin equation from physics, the Wiener process, white noise, the martingale theory, numerical methods and simulation, the Ito and Stratonovitch theories, applications in finance, signal processing, materials science, biology, and other fields.
Syllabus:
TBA
Grading:
60% Homework.
40% Final Project.
Links
Any student with a disability requiring accommodations in this course is encouraged to contact Dr. Cox after class or during office hours. Additionally, students should contact Disability Support Services in the Ley Student Center.
Send problems or suggestions to dcox@stat.rice.edu If you
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