Aug 14, 2022  
2014-2015 University Catalog 
2014-2015 University Catalog [ARCHIVED CATALOG]

STAT 54000 - Mathematics Of Finance

Credit Hours: 3.00. An introduction to the mathematical tools and techniques of modern finance theory, in the context of Black-Scholes option pricing. Brownian motion and its stochastic calculus, Ito’s formula, and Feynman-Kac formula. Pricing and hedging of claims on Black-Scholes assets. Incomplete markets. Path-dependent options. Stochastic portfolio optimization. Typically offered Spring.