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Jan 26, 2015 by Misrak Negatu (misrak)
Jul 26, 2016 by Misrak Negatu (misrak)
Apr 13, 2017 by Misrak Negatu (misrak)
Jul 10, 2017 by Eden Slone (edencslone)
MATH 3411 : Stochastic Calculus Methods in Finance
Mon, 10 Jul 2017 08:02:47 GMT
Thu, 06 Jul 2017 18:31:37 GMT
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Columbian College of Arts and Sciences
Long Course Title
Stochastic Calculus Methods in Finance
Short Course Title
Stochastic Calculus in Finance
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Repeatable for Credit?
MATH 2184 or MATH 2185; and MATH 3410; or permission of the instructor
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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.
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