Stochastic Calculus for Option Pricing

4 credits

Introductory stochastic calculus mathematical foundation for pricing options and derivatives. Basic stochastic analysis tools, including stochastic integrals, stochastic differential equations, Ito's formula, theorems of Girsanov and Feynman-Kac, Black-Scholes option pricing, American and exotic options, bond options. Course overlaps with: CFRM 450. Prerequisite: a minimum grade of 2.0 in MATH 491/STAT 491. Offered: jointly with STAT 493.