3 credits
Spring 2022 Lecture Upper DivisionData from last updated 8/23/2024
Spring 2022
Spring 2022 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. Typically offered Spring.
Course STAT 540 from Purdue University - West Lafayette.Prerequisites
Restrictions
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