IE 526
Spring 2014 All Classes
All Classes
Credit: 4 hours.
Stochastic calculus approach to the pricing and risk management of derivative securities; no arbitrage pricing; Brownian motion; stochastic calculus; the Black-Scholes-Merton mode; risk neutral valuation; Feynman-Kac theorem; transform methods; exotic derivatives; change of numeraire; term structure interest rate mode; stochastic volatility and jump models.
Prerequisite: IE 525.
Section Status updates every 10 minutes.
| CRN | Type | Section | Time | Day | Location | Instructor | Section Details | |
|---|---|---|---|---|---|---|---|---|
|
53010
|
Lecture-Discussion
|
F
|
2:30PM
-3:50PM
|
TR
|
165 Everitt Laboratory
|
Sowers, R
|
|