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
Closed
0
5MATH 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.
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