FINMOD 3613A
0.50 credit · Main
An introduction to modern financial mathematics using a differential equations approach. Stochastic differential equations and their related partial differential equations. The Fokker-Planck and Kolmogorov PDEs. No-arbitrage pricing, the Black-Scholes equation and its solutions. American options. Exotic options.
Applied Mathematics 2402A/B or the former Differential Equations 2402A; or Statistical Sciences 2503A/B.
3 lecture hours.
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