CFRM 550 A: Stochastic Calculus for Quantitative Finance

Autumn 2023
Meeting:
TTh 9:00am - 10:20am / PCAR 290
SLN:
12291
Section Type:
Lecture
Joint Sections:
CFRM 450 A , CFRM 550 C , CFRM 550 B
Instructor:
FOR ADD CODE, EMAIL COMPFIN@UW.EDU.
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 504.
Credits:
4.0
Status:
Active
Last updated:
May 25, 2024 - 5:38 pm