USC Schedule of Classes

Fall 2017

Mathematics 530a:

Stochastic Calculus and Mathematical Finance (3.0 units)

Stochastic processes revisited, Brownian motion, Martingale theory, stochastic differential equations, Feynman-Kac formula, binomial models, basic concepts in arbitrage pricing theory, equivalent Martingale measure. Recommended preparation: Math-225, Math-407. Duplicates credit in the former MATH-503.
    39737R001Lecture2:00-3:15pmWed, Fri37 of 50Jin MaVKC100session dates
    Information accurate as of March 4, 2018 5:28 pm.
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