MATH 6206. Stochastic Calculus for Finance II. (3)

Prerequisite: MATH 6203 or permission of program. This course focuses on the applications of stochastic calculus techniques to advanced financial modeling. Topics include pricing of European, American and fixed-income derivatives in the Black-Scholes and stochastic volatility models. The Jump-diffusion model will also be introduced.(Spring)

Course Category: 
Concentration: 
COMPUTATIONAL FINANCE