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CFRM 550 A: Stochastic Calculus for Quantitative Finance

Meeting Time: 
MW 3:30pm - 5:20pm
Location: 
LEW 208
SLN: 
11890
Joint Sections: 
CFRM 550 B
Instructor:
Patricia Ning
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: 
March 1, 2019 - 9:00pm
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