Stochastic Calculus and Mathematical Finance 💰

Welcome to the course page for Stochastic Calculus and Mathematical Finance, taught by Prof. Sandeep Juneja at Ashoka University.
This repository hosts the official GitHub Pages site: stocalc.github.io.

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📖 About the Course

This is a course for advanced undergraduate and graduate students with an aptitude and interest in quantitative methods.
Students will be exposed to no-arbitrage based deep and beautiful ideas underlying mathematical finance.
For this, they will gain adequate exposure to stochastic calculus, which is also highly relevant for the increasingly mainstream diffusion-based generative AI.

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📝 Topics Covered

• Review of measure-theoretic probability
• Martingales and Brownian motion
• Stochastic calculus & Itô’s formula
• Girsanov’s theorem & stochastic differential equations
• Discrete and continuous-time pricing theory
• Stochastic volatility & interest rate models
• PDE methods in finance
• Applications to machine learning and generative AI

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🎯 Learning Outcomes

By the end of the course, students will:

• Develop a rigorous understanding of stochastic calculus
• Apply no-arbitrage pricing methods in financial markets
• Explore connections between finance and generative AI models

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🗓 Course Logistics

• Mode: Hybrid (in-person & online)
• Schedule: Tuesdays & Thursdays, 10:20 AM – 11:50 AM
• Start Date: August 26th
• Duration: ~40 hours of teaching
• Prerequisites: Probability, Linear Algebra, and Real Analysis

📌 Registration is free but required.

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👨‍🏫 Professor Bio

Prof. Sandeep Juneja is a renowned researcher in stochastic processes, mathematical finance, and applied probability. He has made significant contributions to the theory and practice of stochastic modeling in finance, climate, and Epidemiology.

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🚀 Getting Started

This repo powers the GitHub Pages site for the course.
To run the site locally:

# Clone the repository
git clone https://github.com/your-username/stocalc.github.io.git

# Move into the folder
cd stocalc.github.io

# Open index.html in your browser

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👨🏻‍💻 Report Bugs

This github webpage is maintained by Aman K. Foujdar. You can email me at aman.foujdar_ug2023@ashoka.edu.in for queries or reporting any issues you're facing.