MA 51600, Fall 2014

Course Description

Credit Hours: 3.00. Stochastic interest rate models. American options from the probabilistic and PDE points of view. Numerical methods for European and American options, including binomial, trinomial, and Monte-Carlo methods. Typically offered Fall.

Instructor Info.

Section	Room	Time		Instructor	Office
MA 51600 002	REC 309	12:00pm	TR	Figueroa-Lopez, Jose	MATH 542

Course Materials

Section	Type	Title	Author
ALL	Textbook	Arbitrage Theory in Continuous Time (3)	Tomas Bjork

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