FE 610 Stochastic Calculus for Financial Engineers
This course provides the foundation for understanding modern financial theory through applied mathematics. Stochastic processes are used to model a variety of financial processes such as stock prices, portfolio valuations, and interest rate models. The students will learn how to apply Ito integrals and implement arbitrage free pricing of derivatives. This is then expanded on to include stochastic differential equations and exotic option pricing as well as the basis of jumpdiffusion models. Applications to financial instruments are discussed throughout the course. Students are expected to have a strong background in applied mathematics (analysis and calculus) and probability.
Distribution
School of Business