Stochastic Calculus for Finance

3 credits · Undergraduate Programs

Martingales in discrete and continuous time, risk-neutral valuations, discrete- and continuous-time (B,S)-security markets, Cox-Ross-Rubinstein formula, Wiener and Poisson processes, Ito formula, stochastic differential equations, Girsanov's theorem, Black-Scholes and Merton formulas, stopping times and American options, stochastic interest rates and their derivatives, energy and commodity models and derivatives, value-at-risk and risk management. Prerequisite(s): Mathematics 383; and 6 units of Mathematics in the Field of Mathematics at the 400 level or above. Antirequisite(s): Credit for Mathematics 581 and 681 will not be allowed.