Autumn 2024
Meeting:
TTh 9:00am - 10:20am / GLD 435
SLN:
23384
Section Type:
Lecture
Joint Sections:
CFRM 550 A , CFRM 550 B , CFRM 550 C
Instructor:
IF CFRM 415 PREREQUISITE IS IN
PROGRESS, CONTACT AMATHADV@UW.EDU
TO BE ADDED TO COURSE.
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. Course overlaps with: MATH 493/STAT 493. Prerequisite: CFRM 415.
Credits:
4.0
Status:
Active
Last updated:
December 7, 2024 - 10:30 am