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.
39741D001Lecture2:00-3:15pmWed, Fri34 of 40Jianfeng ZhangWPH207session dates
Information accurate as of October 14, 2020 2:01 pm.
The following days in the Spring 2021 semester have been designated as Wellness Days for students: Friday, March 12, Tuesday, March 23, Wednesday, April 7, Thursday, April 22, and Friday, April 30. On Wellness Day, there will be no classes and no classwork expected of students. Graduate students will receive more information from their schools. Read more.