MATH 6910 3.00
| Title | STOCHASTIC CALCULUS IN FINANCE |
|---|---|
| Level | Graduate |
| Department | |
| Description | Probability models and discrete time stochastic processes; Brownian motion; Filtrations, conditional expectations, martingales; Stochastic integrals, Ito's formula; Stochastic differential equations; Diffusions, Kolmogorov equation; Girsanov Formula; Black Scholes. |
