Stochastic Calculus for Quantitative Finance

Subject: 
Actuarial Science (ACTSC)
Catalog number: 
969
Unit weight: 
0.50
Meet type: 
LEC
Grading basis: 
NUM
Cross-listing(s): 
N/A
Requisites: 
Description: 
The course provides an introduction to Itô calculus and stochastic processes in the context of quantitative finance. Topics include: quadratic variation, Itô formula, Itô differential equations, Brownian motion, geometric Brownian motion, martingales, connection between diffusion processes and partial differential equations, Girsanov transform
Topic titles: 
N/A
Faculty: 
Mathematics (MAT)
Academic level: 
GRD
Course ID: 
016648