Mathematics 530a:

Stochastic Calculus and Mathematical Finance (3.0 units)

Stochastic processes revisited, Brownian motion, Martingale theory, stochastic differential equations, Feynman-Kac formula, binomial models, basic concepts in arbitrage pricing theory, equivalent Martingale measure. Recommended preparation: Math-225, Math-407. Duplicates credit in the former MATH-503.
    SectionSessionTypeTimeDaysRegisteredInstructorLocationSyllabusInfo
    39737R001Lecture2:00-3:15pmWed, Fri26 of 50Jin MaMHPB7Bsession dates
    Information accurate as of February 7, 2022 7:48 am.