MA 51500, Spring 2016
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 001 |
REC 303 |
1:30pm |
TR |
Lee, Kiseop |
No Office |
Course Materials
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