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.
39741R001Lecture2:00-3:15pmWed, Fri31 of 40Ting-Kam WongTHH118session datesbook list
Information accurate as of October 3, 2018 10:51 am.