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, Fri23 of 40Jin MaGFS116session datesbook list
    Information accurate as of December 2, 2023 4:48 pm.