MATH 8203 - Stochastic Calculus for Finance

An introduction to those aspects of partial differential equations and diffusion processes most relevant to finance, Random walk and first-step analysis, Markov property, martingales and semi-martingales, Brownian motion. Stochastic differential equations: Ito’s lemma, backward and forward Kolmogorov equations, the Feynman-Kac formula, stopping times, Hull and White Models, Cox-Ingersoll-Ross Model. Applications to finance including portfolio optimization and option pricing.

Credit Hours: (3)
Cross-listed Course(s): MATH 6203.
Most Recently Offered (Day): Fall 2020, Fall 2019, Fall 2018
Most Recently Offered (Evening): Fall 2020, Spring 2020, Fall 2019

Schedule of Classes