MA 51500, Spring 2011
Course Description
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.
Instructor Info.
| Section | Room | Time | Instructor | Office | |
|---|---|---|---|---|---|
| MA 51500 002 | UNIV 001 | 9:30am | MWF | Baudoin, Fabrice | MATH 438 |
Course Materials
There are no materials for this course.
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