MATH 493 A: Stochastic Calculus for Option Pricing

Spring 2024
Meeting:
MWF 11:30am - 12:20pm / LOW 201
SLN:
16983
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: a minimum grade of 2.0 in MATH 491/STAT 491. Offered: jointly with STAT 493.
GE Requirements Met:
Natural Sciences (NSc)
Credits:
3.0
Status:
Active
Last updated:
February 18, 2025 - 3:40 pm