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Viewing: MATH 3411 : Stochastic Calculus Methods in Finance

Last approved: Mon, 10 Jul 2017 08:02:47 GMT

Last edit: Thu, 06 Jul 2017 18:31:37 GMT

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.

Course Attribute


Key: 5610