IE 525 A - Stochastics & Numerics in Fin
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 1Number of Required Visit(s): 0
Course Level: Graduate