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 .

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