Stochastic Calculus in Finance

Catalog description

This course is designed to give students an overview of the techniques of stochastic calculus. Building upon a student's calculus and statistical background, the course explores how to model systems that behave randomly. Applying the concepts to financial models, students will explore both discrete and continuous time processes. Major objectives in this course include covering the concepts of arbitrage and risk-neural pricing, discrete-time models, continuous time models, Markov processes, Brownian motion, and the Black-Scholes model. Throughout the course, students will apply the techniques learned to real world problems in areas such as stock prices, bond interest rates, and portfolio management.