Mathematics 530b:
Stochastic Calculus and Mathematical Finance (3.0 units)
Advanced topics in stochastic analysis, asset pricing in continuous time, stochastic control, Hamilton-Jacobi-Bellman equations, incomplete markets, American options, exotic options, term structure of interest rates. Duplicates credit in the former MATH-506.
- Prerequisite: MATH 530a
| Section | Session | Type | Time | Days | Registered | Instructor | Location | Syllabus | Info |
|---|---|---|---|---|---|---|---|---|---|
| 39741R | 001 | Lecture | 2:00-3:15pm | Wed, Fri | 31 of 40 | Ting-Kam Wong | THH118 |  |