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Stochastic Calculus for Finance II

MATH 5636: Stochastic Calculus for Finance II

Continuation of 5635. Feynman-Kac theorem, diffusion with drift, applications to problems in financial mathematics.
Prereq: A grade of C- or above in 5635; and enrollment in Math major or Actuarial Science major, or Grad standing; or permission of department.
Credit Hours
3.0

Semester(s) Offered:

Spring