Mon, Wed, Fri at 9am in MR12

The official course description

Lecture notes

Lecture notes up to lecture 24.

Examples classes

The revision class for Stochastic Calculus will be Tue 19 May 10:00-11:00 in MR12.

Please email me questions from the lectures, example sheets or past exams you would like me to discuss.

Example sheets

• Example sheet 1
• Example sheet 2
• Example sheet 3
• Example sheet 4

Supplemental reading

• I. Karatzas and S. Shreve. Brownian Motion and Stochastic Calculus. Springer. 1998
• D. Revuz and M. Yor. Continuous Martingales and Brownian Motion. Springer. 2001.
• L.C.G. Rogers and D. Williams. Diffusions, Markov Processes, and Martingales: Vol. 1 and 2. Cambridge University Press. 2002.

Finally, here are some books on probability theory at the level encountered in this course.

• G. Grimmett and D. Stirzaker. Probability and Random Processes. Oxford University Press. 2001
• D. Williams. Probability with Martingales. Cambridge University Press. 1991

The probability seminar.

The finance workshop.

Advice for PhD applicants in financial mathematics in Cambridge.

For those interested in employment in a bank or hedge fund, here is a list of people to contact.

Last updated 25 January 2016.