UNIVERSITAS GADJAH MADA

Faculty of Mathematics and Natural Sciences

Department of Mathematics
Sekip Utara Bulaksumur Yogyakarta 55281 Telp: +62 274 552243 Fax: +62 274 555131 Email: math@ugm.ac.id Website: http://math.fmipa.ugm.ac.id

Bachelor in Mathematics
Telp : +62 274 552243
Email : maths1@ugm.ac.id; kaprodi-s1-matematika.mipa@ugm.ac.id MODULE HANDBOOK
sekprodi-s1-matematika.mipa@ugm.ac.id
Website : http://s1math.fmipa.ugm.ac.id/

Module Name Stochastic Calculus

Module level, if applicable Bachelor

Code, if applicable MMM-3110

Subtitle, if applicable -

Courses, if applicable Stochastic Calculus

Semester(s) in which the 6th (sixth)

module is taught
Person responsible for the Chair of the Lab. of Analysis
module
Lecturer(s) Dr. Nanang Susyanto, M.Sc.
Made Tantrawan, S.Si., M.Sc., Ph.D.

Language Indonesia

Relation to curriculum Elective course in the third year (6th semester) Bachelor’s degree

Teaching methods Lecture, classroom discussion, flipped learning, problem-based learning,

and case-based learning

Workload (incl. contact hours, The total workload is 136 hours per semester, which consists of 150
self-study hours) minutes of lectures per week for 14 weeks, 180 minutes of structured
activities per week, and 180 minutes of individual study per week, in
total is 16 weeks per semester, including mid-exam and final exam.

Credit points 3

Required and recommended Introduction to Mathematical Statistics (MMS-2420)

prerequisites for joining the Calculus Multivariable II (MMM-2109)
module Student must have a good understanding about the concepts of
probability and multivariable calculus.
 Module objectives/intended
learning outcomes
After completing this course, the students should have the ability to:
CO 1. solve problems related to probability theory as a base concept of
stochastic integrals.
CO 2. analyse some functions with non-zero quadratic variations.
CO 3. construct Ito integral with partition method and investigate its
convergence.
CO 4. apply Ito-Doeblin formula to solve stochastic integrals.

Content • Probability Theory (infinite probability space, convergence of

integral, expectation, change of measure)
• Information and conditioning (information and 𝜎-algebra,
independence, conditional expectation)
• Brownian Motion (random walk, Brownian motion, quadratic
variation, Markovian)
• Stochastic Integral (Introduction to Stieltjes Integral, Construction of
Ito Integral, Convergence of Ito Integral, Ito-Doeblin Formula)

Examination forms Essay

Study and examination The final mark will be weighted as follows:

requirements No Assessment methods (components, activities) Weight (percentage)
1 Final Examination 30% - 40%
(15% case-based)
2 Mid-Term Examination 30% - 40%
3 Class Activities: Quiz, Homework, etc 20% - 30%
(5% case-based)

Media employed Board, LCD Projector, Laptop/Computer

Reading list 1. Shreve, 2004, Stochastic Calculus for Finance Vol. II, Springer
Finance
2. Klebaner, 2005, Introduction to Stochastic Calculus with
Applications, Imperial College Press.
3. Arguin, L.P., 2021, A First Course in Stochastic Calculus, American
Mathematical Society

CO-PLO Mapping
PLO 1 PLO 2 PLO 3 PLO 4 PLO 5 PLO 6 PLO 7 PLO 8 PLO 9
CO 1 v v v
CO 2 v v v v
CO 3 v v v v v
CO 4 v v v v
Compilation Date : July 16th 2022
Modified Date : July 16th 2022