Stochastic Calculus for Finance
Overview
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.
Career
Undergraduate
Credits
Value
4
Max
4
Min
4
Course Count
1
Number Of Credits
4
Number Of Repeats
1
Repeatable
No
Contact Use
Yes
Generate Attendance
No
Left Use
Yes
Present Use
Yes
Reason Use
Yes
Tardy Use
Yes
Template Override
No
Time Use
Yes
Attendance Type
Class Meeting
Auto Create
No
Code
LEC
Instructor Contact Hours
4
Default Section Size
30
Final Exam Type
Yes
Include in Dynamic Date Calc
No
Instruction Mode
In Person
LMS File Type
Blackboard CourseInfo 4
Name
Lecture
OEE Workload Hours
0
Optional Component
No
Preferred Room Features
Academic Scheduling
Workload Hours
4