Course Syllabus

CRN 54714

 

Random Walk

 

We will understand some basic aspects of stochastic calculus, particularly as it applied to financial engineering.

 

List of Topics
Pairs Trading
Gaussian random variables
Central Limit Theorem
Brownian Motion
Returns and Log Returns
Information
Brownian Quadratic Variation
Ito Integration
Ito formula

 

Assessments

 

Component Date/Frequency Percentage
Midterms 2025-02-12 and 2025-03-12 50%
Individual Theory Assignments Each module (roughly weekly) 25%
Group Coding Assignments Each module (roughly weekly) 25%

 

  • Group Coding Assignments:
    • We will use Google Drive and Google Colab (Python Jupyter notebooks) for teaching and the Group Coding Assignments.  You can access these through Google Apps @ Illinois; you need to have Account Status “On” for Google Apps at https://cloud-dashboard.illinois.edu/cbdash/ and then log in via g.illinois.edu
    • Groups will be randomly set by canvas.  Groups will be re-randomized several times. 
    • Submissions will be via URL to your Google Colab file.  Make sure to set the permissions to "Google Apps @ Illinois". 
      • Best practices seems to be to set permissions to "Google Apps @ Illinois".  That means that the TA and I can automatically access your notebook.  The actual URL is long and random enough that others probably can't guess it.
      • Access for data files should be "Anyone with the link"; that ensures that colab notebooks can access it.  See lecture notebooks for examples.
    • The equivalent of one Group Coding Assignment will be for "longitudinal team effort".   You will get full credit for this unless there is a pattern of not contributing to groups.
  • Midterm Exams: These will be held in DCL 1310.
  • Extra Credit: You will get up to 2% extra credit for attendance.   Attendance will be taken randomly at any time during the class.
  • Late work:  10% per day will be deducted for late homework.  No exceptions.
  • Late Enrollment:  Email me if you join the class after the first 2 weeks.  I will excuse your assignments due on or before the second day after you join the class.

 

Miscellanea