Mathematics 530b:

Stochastic Calculus and Mathematical Finance (3.0 units)

Advanced topics in stochastic analysis, asset pricing in continuous time, stochastic control, Hamilton-Jacobi-Bellman equations, incomplete markets, American options, exotic options, term structure of interest rates. Duplicates credit in the former MATH 506.
39741R001Lecture2:00-3:15pmWed, Fri30 of 40Jin MaKAP158session datesbook list
Information accurate as of 3/11/2015 11:58 AM.