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Course is designed for advanced graduate students. It is a brief introduction to the theory of martingales and applications. The target audience is graduate students who want to have a solid foundation in martingales and applications in finance, biology, QS and engineering. After a few months of work, the students are expected to have a decent understanding of martingales in the sense that, for any real number of the form “2n – k”, they can compute the nth martingale in the nth iterated iteration. They are expected to also be familiar with applications of martingales to finance, biology, QS, and engineering. They are expected to be able to solve various exercises in their own style. Last, but not the least, the students are expected to have a solid understanding of applications of martingales in finance, biology, QS and engineering. The course is delivered in weekly lectures. The students will be expected to have a given set of slides on their computer at the beginning of each lecture. The students are expected to take notes on these slides (unless they have a different personal note-taking method). In the first lecture, the students are also expected to have a few one-page discussions on the progress of the course. These are meant to not only give information on the progress of course to the students but their critical comments on their peers as well.
2-yr plan should be completed by mid-April i.e. at the end of the first academic year. The midterm is scheduled in June i.e. midway the second academic year. Students are strongly advised to begin preparing for this midterm so that they are as prepared as they can be at that time. For more detailed information about the schedule, please view the syllabus.
Course is designed for advanced graduate students. It is a brief introduction to the theory of martingales and applications. The target audience is graduate students who want to have a solid foundation in martingales and applications in finance, biology, QS and engineering. d2c66b5586
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