| |
Apr 24, 2024
|
|
|
|
|
MATH 6203 - Stochastic Calculus for Finance I
This course starts with the probability theory in discrete probability space, discrete-time stochastic processes, and derivatives pricing in the Binomial model. The second part covers probability theory in general probability space and continuous-time martingale and Markov processes. Topics include: the It’o integral, Black-Scholes model, It’o-Doeblin formula, Girsanovs theorem, and Martingale Representation theorem. Applications to pricing of exotic derivatives and American options are discussed.
Credit Hours: (3)
Restriction(s): Admission to the graduate program and permission of Program Director.
Most Recently Offered (Day): Fall 2018, Fall 2019, Fall 2021
Most Recently Offered (Evening): Fall 2020, Spring 2021, Fall 2021
Schedule of Classes
Add to Catalog Bookmarks (opens a new window)
|
|
