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 2025
Instructors
Meeting Patterns
Classes Start:
January 6, 2025
Classes End:
April 22, 2025
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:
Prerequisite: FIM 528 and MA(ST) 546
