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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 |
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