MATH 703 Finance and Stochastic Calculus
The course gives an up-to-date and modern overview of the main concepts in Mathematical Finance in continuous time. This includes mastering the basic tools of the subject such as Wiener processes, martingales, Itô calculus and Feynman-Kac formula. The tools will then lead to the study of important problems such as portfolio optimization, hedging and replication in continuous time, as well as the calculus of option prices.
Offered
Fall Spring