Financial Stochastic Processes

3 credits · Undergraduate

The theory of stochastic processes and applications to financial economics. Brownian motion; martingales; Itô's Lemma; stochastic integration. Monte Carlo simulations with variance reduction techniques. Applications include discretetime option pricing and delta hedging. Prerequisite: 3650 and either 2810, 2820, or 3640. [3] (MNS)