IE 526
spring 2016
All Classes
Stochastic Calculus in Finance
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 Closed
- Section Status Open
- Section Status Pending
- Section Status Open (Restricted)
- Section Status Unknown
Section Status updates every 10 minutes.
| Detail | Status | CRN | Type | Section | Time | Day | Location | Instructor |
|---|