MA 51600, Fall 2015

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	10:30am	TR	Baudoin, Fabrice	MATH 438

Course Materials

Section	Type	Title	Author
ALL	Textbook	Arbitrage Theory in Continuous Time (Oxford Finance Series) (3)	Tomas Bjork
ALL	Textbook	Introduction to Stochastic Calculus Applied to Finance, Second Edition (Chapman and Hall/CRC Financial Mathematics Series) (2)	Damien Lamberton

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