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| STAT 54000 - Mathematics Of Finance |
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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: Undergraduate, Graduate, Professional 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: Freshman: 15 - 29 hours Sophomore: 45 - 59 hours Freshman: 0 - 14 hours Sophomore: 30 - 44 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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