MATH 506 - Stochastic Analysis for Finance
Section: 001
Term: WN 2018
Subject: Mathematics (MATH)
Department: LSA Mathematics
Requirements & Distribution:
Waitlist Capacity:
Advisory Prerequisites:
Graduate students or permission of instructor.
This course counts toward the 60 credits of math/science required for a Bachelor of Science degree.
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)
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
ISBN: 9780387976556
Brownian motion and stochastic calculus, Author: Ioannis Karatzas, Steven E. Shreve., Publisher: Springer-Verlag 2nd ed. 1991
ISBN: 9781441928627
Stochastic calculus and financial applications, Author: J. Michael Steele., Publisher: Springer 2010
ISBN: 9783540047582
Stochastic differential equations : an introduction with applications, Author: Bernt ?ksendal., Publisher: Springer 6th ed., c 2007
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