2020-2022 Undergraduate and Graduate Bulletin (without addenda) 
    
    Mar 28, 2024  
2020-2022 Undergraduate and Graduate Bulletin (without addenda) [ARCHIVED CATALOG]

FRE-GY 6231 Stochastic Calculus in Finance

1.5 Credits
This course provides the mathematical foundations of option pricing and credit risk models. The techniques covered include filtrations, arithmetic and geometric Brownian motion, first passage time, the reflection principle, the stochastic Ito integral, Ito differential calculus, change of probability measure, martingales, Stochastic Differential Equations and the connection with Partial Differential Equations. Some financial applications to European options and bonds will be presented.

Prerequisite(s): Matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department and FRE-GY 6083 

Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0