Stochastic Calculus for Finance

Catalog description

This course is an introduction to stochastic calculus and its applications to modern finance. The core topics developed in the course are the Ito stochastic integral, Ito's formula, and basic stochastic differential equations. The course will provide students with indispensable tools for valuation of financial derivatives and for keeping up with developments in financial modeling. MTH 5500 can be used as an elective within the actuarial science and mathematics majors, as an elective within the mathematics minor, as a required course for the proposed financial engineering major, or as a general elective for the BA, BBA, or BS degrees.Prerequisite: MTH 4120, MTH 4125, MTH 4500.