MATH 506 - Stochastic Analysis for Finance
Section: 001
Term: WN 2018
Subject: Mathematics (MATH)
Department: LSA Mathematics
Credits:
3
Requirements & Distribution:
BS
Waitlist Capacity:
25
Advisory Prerequisites:
Graduate students or permission of instructor.
BS:
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
Repeatability:
May not be repeated for credit.
Primary Instructor:

The aim of this course is to teach the probabilistic techniques and concepts from the theory of stochastic processes required to understand the widely used financial models. In particular concepts such as martingales, stochastic integration/calculus, which are essential in computing the prices of derivative contracts, will be discussed. Pricing in complete/incomplete markets (in discrete/ continuous time) will be the focus of this course as well as some exposition of the mathematical tools that will be used such as Brownian motion, Levy processes and Markov processes.

For more information on this course, please visit the Department of Mathematics webpage

MATH 506 - Stochastic Analysis for Finance
Schedule Listing
001 (LEC)
P
25535
Open
31
31MATH QFMS
-
TuTh 10:00AM - 11:30AM
Note: Please add your name to the wait list. Priority is given to students in the Quantitative Finance Program.
NOTE: Data maintained by department in Wolverine Access. If no textbooks are listed below, check with the department.


ISBN: 9781441923110
Stochastic calculus for finance., Author: Steven E. Shreve., Publisher: Springer 1., ed. 20 2010
Required
ISBN: 9780387976556
Brownian motion and stochastic calculus, Author: Ioannis Karatzas, Steven E. Shreve., Publisher: Springer-Verlag 2nd ed. 1991
Optional
ISBN: 9781441928627
Stochastic calculus and financial applications, Author: J. Michael Steele., Publisher: Springer 2010
Optional
ISBN: 9783540047582
Stochastic differential equations : an introduction with applications, Author: Bernt ?ksendal., Publisher: Springer 6th ed., c 2007
Optional
Syllabi are available to current LSA students. IMPORTANT: These syllabi are provided to give students a general idea about the courses, as offered by LSA departments and programs in prior academic terms. The syllabi do not necessarily reflect the assignments, sequence of course materials, and/or course expectations that the faculty and departments/programs have for these same courses in the current and/or future terms.

Click the button below to view historical syllabi for MATH 506 (UM login required)

View Historical Syllabi
The CourseProfile (ART) system, supported by the U-M Provost’s 3rd Century Initiative through a grant to the Digital Innovation Greenhouse, provides additional information about: course enrollments; academic terms and instructors; student academic profiles (school/college, majors), and previous, concurrent, and subsequent course enrollments.

CourseProfile (ART)