MATH 492 A: Stochastic Calculus For Option Pricing

Introductory stochastic calculus mathematical foundation for pricing options and derivatives. Basic stochastic analysis tools, including stochastic integrals, stochastic differential equations, Ito's formula, theorems of Girsanov and Feynman-Kac, Black-Scholes option pricing, American and exotic options, bond options. Prerequisite: minimum grade of 2.0 in either STAT 395/MATH 395, or a minimum grade of 2.0 in STAT 340 and STAT 341. Offered: jointly with STAT 492; W.