FE 543 Introduction to Stochastic Calculus for Finance
This course introduces stochastic calculus to students of finance and financialengineering. Initially the students are exposed to the Binomial Asset Pricing model, which is used todevelop the theory around martingales and risk-neutral pricing with discrete examples. The course thenmoves into using Geometric Brownian motion which leads to the Black-Scholes-Merton model as itsbasis for the stock market to develop the theory for continuous models. This course is intended forstudents who are interested in stochastic calculus but have only a basic background in probability
Prerequisite
Graduate Student or At Least Junior
Distribution
School of Business