Stochastic Calculus for Option Pricing

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