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CFRM 550 A: Stochastic Calculus For Quantitative Finance

Meeting Time: 
MW 1:30pm - 3:20pm
Location: 
LOW 202
SLN: 
12076
Joint Sections: 
CFRM 550 C, CFRM 550 B
Catalog Description: 
Provides a systematic examination of financial derivatives pricing using stochastic calculus. Examines popular stochastic differential equation models such as Geometric Brownian motion, Vasicek, Hull-White, Cox-Ingersoll-Ross, Black-Karasinski, Heath-Jarrow-Morton, and Brace-Gatarek-Musiela, as well as Poisson and Levy processes. Applications include equity, fixed-income, and credit derivatives. Offered: S.
Credits: 
4.0
Status: 
Active
Last updated: 
September 5, 2017 - 9:20pm
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