Dr Konstantinos Dareiotis
Tutor information is taken from the Module Catalogue
Lecture notes will be provided and are self-contained.
Below you can find some monographs that are suggested as additional material. Students without a backround in measure theoretic probability are strongly encouraged to consult 1) and students without a background in analysis are strongly encouraged to consult 2).
1) J. Jacod, P. Protter. Probability essentials, Springer 2004
2) J. Muscat. Functional analysis, Springer 2014
Independent study in stochastic analysis and applications in finance:
3) N. V. Krylov. Introduction to the theory of random processes, vol. 43 of Graduate Studies in Mathematics. American Mathematical Society, Providence, RI, 2002. doi:10.1090/gsm/043.
4) L. B. Koralov and Y. G. Sinai. Theory of probability and random processes. Universitext. Springer, Berlin, second ed., 2007. doi:10.1007/978-3-540-68829-7
5) L.C.Evans. An introduction to stochastic differential equations. AmericanMathematicalSociety, Providence, RI, 2013. doi:10.1090/mbk/082.
6) Yan, Jia-An. Introduction to Stochastic Finance, Springer 2018
This list was last updated on 02/08/2021