Course Programme ps-file, pdf-file, dvi-file
Link to Literature for Numerical Part of Course, handled by Stig Larsson ps-file, pdf-file
Link to Programme for Exercises
Lecture notes from graduate course in Stochastic Calculus 2001 ps-file, pdf-file
Example of application 1: Fit of geometric Brownian motion to SP500 notations 2000 - 2004 Mathematica notebook
Example of application 2: Fit of CKLS SDE to Nord Pool eletricity prices year 2000 Mathematica notebook
Example of application 3: Fit of OU SDE to SP500 volatility 2000 - 2004 Mathematica notebook
Additional information about the course can be found at Chalmers Student Portal.
Patrik Albin (Associate Professor) is responsible for the course. Welcome to contact Patrik for more information about the course.