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.
39741R060Lecture2:00-3:15pmWed, Fri14 of 40Jin MaONLINEsession dates
Information accurate as of September 10, 2021 2:03 pm.
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