S26MATH411_Info.html

Spring 2026, MATH 411, Section 1, CRN 23945
"Stochastic Analysis and Financial Mathematics"

Class Time/Room: MWF 11-11:50am, Engrg.B105

Instructor Prof. Jiangguo "James" Liu
Office: Weber 116; Phone: (970)491-3332
Email: jiangguo.liu@colostate.edu (but CANVAS email preferred)
URL: https://www.math.colostate.edu/~liu/
Office Hours: MWF 2pm, Thu.2-3pm, and by appointments.

Lecture Notes and Supplementary Readings (To be updated)

Lecture Notes on CANVAS
(2006) J.R. Buchanan, An Undergraduate Introduction to Financial Mathematics, World Scientific, ISBN 981-256-637-6.
(2016) G.H.Choe, Stochastic Analysis for Finance with Simulations, Springer, ISBN 978-3-319-25589-7.

Course Content and Schedule

Week 1	Unit 1: Course Overview & Review of Calculus and Linear Algebra
Week 2,3,4	Unit 2: Random Variables in Finance
Week 5,6,7	Unit 3: Portfolio Optimization
Week 8	Review and Exam 1 (Covering Unit 1,2,3)
Spring Break
*Week 9,10,11*	Unit 4: Stochastic Modelling for Finance
*Week 12,13,14*	Unit 5: Black-Scholes Equation for Option Pricing
Week 15	Unit 6: Suggestions for Further Study & Review for Exam 2
Finals Week	Exam 2 (Covering Unit 4,5)

Homework & Attendance (50%)
There will be 2 half-size & 6 full-size HWs.
Due dates will be posted on CANVAS.

Exam 1 (25%)
In class; Tentatively scheduled for Fri. 03/13/2026;
Covers Unit #1,2,3; Closed book/notes.

Exam 2 (25%)
Scheduled for Wed. May 13th, 2026, 4:10--6:10pm, Engrg.B105
Covers Unit #4,5; Closed book/notes.

Course Letter Grade
A (100-90) B (89-80) C (79-70) D (69-60) F (<60) Plus/minus grades may be assigned at the margins.
Makeups
We shall follow the rules set by the University.

Last modified by James Liu on Thu.01/15/2026