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MATH 492 A: Stochastic Calculus for Option Pricing

Meeting Time: 
MWF 11:30am - 12:20pm
Location: 
SMI 407
SLN: 
17145
Joint Sections: 
STAT 492 A
Instructor:
Krzysztof Burdzy
Krzysztof Burdzy
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 World (NW)
Credits: 
3.0
Status: 
Active
Last updated: 
December 13, 2019 - 9:40pm
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