CFRM 450 A: Stochastic Calculus for Quantitative Finance

Autumn 2021
Meeting:
T 10:00am - 10:50am / LEW 320
SLN:
22882
Section Type:
Lecture
Joint Sections:
CFRM 550 C , CFRM 550 B , CFRM 550 A
Instructor:
NO ADD CODES IF CLASS IS FULL.
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. Prerequisite: CFRM 415.
Credits:
4.0
Status:
Active
Last updated:
March 2, 2024 - 2:20 pm