3 credits
Spring 2025 Distance Learning Upper DivisionData from last updated 3/29/2025
Spring 2025
Spring 2025 Instructors:
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.
Learning Outcomes1Obtain necessary mathematical background necessary to study quantitative methods in finance.
2Understand mathematical models of modern financial markets.
Prerequisites
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