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Fall 2020
Jan 25, 2021
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STAT 54000 - Mathematics Of Finance
Credit Hours: 3.00. An introduction to the mathematical tools and techniques of modern finance theory, in the context of Black-Scholes option pricing. Brownian motion and its stochastic calculus, Ito's formula, and Feynman-Kac formula. Pricing and hedging of claims on Black-Scholes assets. Incomplete markets. Path-dependent options. Stochastic portfolio optimization. Typically offered Spring.
3.000 Credit hours

Levels: Graduate, Professional, Undergraduate
Schedule Types: Lecture

Offered By: College of Science
Department: Statistics

Course Attributes:
Upper Division

May be offered at any of the following campuses:     
      West Lafayette


Restrictions:
May not be enrolled as the following Classifications:     
      Sophomore: 45 - 59 hours
      Sophomore: 30 - 44 hours
      Freshman: 0 - 14 hours
      Freshman: 15 - 29 hours

Prerequisites:
GR-STAT 54000 Requisites

General Requirements:

Student Attribute: GR
May not be taken concurrently.  )
or
Rule: 1.: MA 51900 or STAT 51900 for a total of 1 conditions )
MA 51900
May be taken concurrently. STAT 51900
May be taken concurrently. End of rule 1.

and
Rule: 2.: MA 26100 or 26200 or 26600 for a total of 1 conditions MA 17200
May not be taken concurrently. MA 17400
May not be taken concurrently. MA 18200
May not be taken concurrently. MA 26100
May not be taken concurrently. MA 26200
May not be taken concurrently. MA 26600
May not be taken concurrently. MA 27200
May not be taken concurrently. MA 30300
May not be taken concurrently. MA 30400
May not be taken concurrently. MA 36600
May not be taken concurrently. End of rule 2.


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