Wash U Olin B-School slides, taught by Professor Guofu Zhou.


Specific topics to be covered include:


Basic probability theory
The strong law of large numbers and central limit theorem

Martingales and conditioning

Brownian motion and diffusion processes

Stochastic calculus

Although the course is at a non-measure-theoretic level, a very brief introduction to measure theory will be given so that students will have a working knowledge of notation commonly used in stochastic models for finance.

The basic outline for the course is as follows.
More details may be found on the Blackboard site, which will be updated throughout the mini.

Class 1:
Introduction to Course and Background Quiz

Classes 2 - 3:
General Probability Theory and the Poisson Process
Chpt. 1

Classes 4 - 5:
Information, Conditioning, and Martingales
Chpt. 2

Classes 6 - 7:
Brownian Motion and the Markov property
Chpt. 3

Classes 8 - 11: Stochastic Calculus
Chpt. 4