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IE 525 A - Stochastics & Numerics in Fin

Campus: Urbana-Champaign


Basic theory of stochastic differential equations and numerical techniques for their analysis with applications to financial modeling. Brownian motion, martingales, stochastic integration, Ito-s formula, stochastic differential equations, partial differential equations, simulation methods for derivatives pricing, finite-difference techniques for Black-Scholes equations and options pricing, Monte Carlo methods, variance reduction techniques, and sensitivity calculations. Course Information: 4 graduate hours. No professional credit. Prerequisite: FIN 500. Restricted to MS: Financial Engineering.

Academic Program Restrictions:

MS: Financial Engineering

Option 1

Number of Required Visit(s): 0

Course Level: Graduate

Credit: 4

Term(s): Spring


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