Winter 2022
Meeting:
MWF 11:30am - 12:20pm / MEB 103
SLN:
17236
Section Type:
Lecture
Joint Sections:
STAT 493 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. Course overlaps with: CFRM 450. 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 493.
GE Requirements Met:
Natural Sciences (NSc)
Credits:
3.0
Status:
Active
Last updated:
December 8, 2024 - 7:28 am