Stochastic Analysis of Financial Markets 1

Catalog description

Lays the foundation for mathematical concepts widely applied in financial markets. Uses economical theory with stochastics (martingales, Wiener, Markov, Ito processes, stochastic differential equations) to derive fair option prices and to hedge call options. Also uses fluctuation theory to predict stocks’ crossing of critical levels. Prerequisite: MTH 5411 or MTH 5425