- Winter 2020
Meeting Time:
MWF 11:30am - 12:20pm
Location:
SMI 407
SLN:
17145
Joint Sections:
STAT 492 A
Instructor:
Catalog Description:
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.
GE Requirements:
Natural Sciences (NSc)
Credits:
3.0
Status:
Active
Last updated:
December 13, 2019 - 9:40pm