Mathematics 117

Probability and Random Processes with Economic Applications (127947)

Paul Bamberg (he)

2025 Spring (4 Credits)

Schedule: TR 1200 PM - 0115 PM

Instructor Permissions: None

Enrollment Cap: n/a

A self-contained treatment of the theory of probability and random processes with specific application to the theory of option pricing. Topics: axioms for probability, calculation of expectation by means of Lebesgue integration, conditional probability and conditional expectation, martingales, random walks and Wiener processes, and the Black-Scholes formula for option pricing. Students will work in small groups to investigate applications of the theory and to prove key results.

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