** Instructor: ** Dennis DeTurck

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- Class meetings were TWTh from 10:00 - 12:00 in DRL 4C6.
- My office is DRL 4E2B, tel. 8-9748, email deturck@math.upenn.edu. I won't keep regular office hours, but I am around a lot.
- Textbook:
*The Mathematics of Financial Derivatives, A Student Introduction*by P. Wilmot, S. Howison and J. Dewynne, published by Cambridge University Press.

- Review of basic probability - single variable probablity distributions.
- Moments and multivariate distributions.
- Functions of random variables. -- Still rough, though. Corrections and diagrams to follow!
- Stochastic processes discrete in space and time(coming!)
- The Maple file for making matrices for the circular random walk. View it, and save it when your screen is full of gobbledy-gook. Remember WHERE you save it --- you can then start Maple and OPEN the file.
- Stochastic processes continuous in time, discrete in space.
- Examples of continuous-time, discrete space stochastic processes.
- Approach to continuity in both space and time - derivation of the Fokker-Planck equation.
- Java simulation of Weiner process.
- Ito's lemma and the simplest stochastic model of asset prices.
- Java simulation of asset price model.