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Stochastic Calculus for Finance I

MATH 5635: Stochastic Calculus for Finance I

Mathematics used in financial asset pricing, based on Wiener (Brownian motion) processes, with applications. Overview of needed real analysis, stochastic processes, Ito Calculus, Risk-neutral measure, connections with PDEs.
Prereq: A grade of C- or above in 3589 or 3345; and a grade of C- or above in 4530, 5530H, or Stat 4201; and enrollment in Math major or Actuarial Science major; or Grad standing; or permission of department.
Credit Hours
3

Semester(s) Offered:

Autumn