Graduate Studies and Postdoctoral Affairs (GSPA)
Needles Hall, second floor, room 2201
Subject:
Actuarial Science (ACTSC)
Catalog number:
969
Unit weight:
0.50
Meet type:
LEC,OLN
Grading basis:
NUM
Cross-listing(s):
N/A
Requisites:
N/A
Description:
The course provides an introduction to Itô calculus and stochastic processes in the context of quantitative finance. Topics include: quadratic variation, Itô formula, Itô differential equations, Brownian motion, geometric Brownian motion, martingales, connection between diffusion processes and partial differential equations, Girsanov transform
Topic titles:
N/A
Faculty:
Mathematics (MAT)
Academic level:
GRD
Course ID:
016648