The CIM Courses system will be down temporarily undergoing routine maintenance.

Catalog Pages referencing this course

Columbian College of Arts and Sciences

Mathematics (MATH)

MATH

3411

Stochastic Calculus Methods in Finance

Stochastic Calculus in Finance

Fall 2017

3

Course Type

Lecture

Default Grading Method

Letter Grade

No

No

MATH 2184 or MATH 2185; and MATH 3410; or permission of the instructor

Corequisites

45

Frequency of Offering

Term(s) Offered

Are there Course Equivalents?

No

No

Fee Type

No

Review of probability theory, Brownian motion, Ito integrals, Ito’s formula, martingales, stochastic differential equations, boundary value problems, the Dirichlet problem, the Black-Scholes equation, optimal stopping, and American options.

As a result of completing this course, students will be able to 1. formulate and analyze continuous time mathematical models in finance, 2. understand the stochastic calculus and the financial concepts underlying these models, and 3. solve problems related to these models.

Uploaded a Course Syllabus

Course Attribute

Key: 5610