Course Description
This course explores stochastics calculus with its applications in pricing and hedging problems for financial derivatives such as options. Topics to be covered in the course include 1) discrete and continuous martingales, 2) Brownian motions and Ito's stochastic calculus, and 3) Black-Scholas framework for financial derivatives pricing and hedging.
Spring 2022
Instructors
Meeting Patterns
Classes Start:
January 10, 2022
Classes End:
April 25, 2022
Location:
00201 Park Shops
Class Days:
T H
Class Start Time:
8:30am
Class End Time:
9:45am
Class Type:
Lecture
Credits:
3.00
Restrictions:
Financial Mathematics Masters student only