Course Title:
Stochastic Calculus and Introduction to No-Arbitrage Finance
Course Description:
Introduces no-arbitrage discounted contingent claims and methods of their optimization in discrete and continuous time for a finite fixed or random horizon. Establishes the relation of no-arbitrage to the martingale calculus. Introduces stochastic differential equations and corresponding PDE describing functionals of their solutions. Presents examples of contingent claims (such as options) evaluation including the Black-Scholes formula.
Fall Offering:
Lab/Coreq 1:
Spring Offering:
Lab/Coreq 2:
Summer Offering:
Lab/Coreq Remarks:
Summer 1 Offering:
Prerequisite 1:
MTH G342
Summer 2 Offering:
Prerequisite 2:
Cross-Listed Course 1:
Prerequisite 3:
Cross-Listed Course 2:
Prerequisite 4:
Cross-Listed Course 3:
Prerequisite 5:
Cross-Listed Course 4:
Prerequisite Remarks:
Cross-Listed Course 5:
Repeatable:
N
