Introductory stochastic calculus mathematical foundation for pricing options and derivatives. Basic stochastic analysis tools, including stochastic integrals, stochastic differential equations, Ito's formula, theorems of Girsanov and Feynman-Kac, Black-Scholes option pricing, American and exotic options, bond options.
Prefix
STAT
Number
492
Credits
3
Variable Credit?
No
Credit/no-credit only?
No
Joint Class?
Yes
Offered
Winter