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MA 51600, Fall 2015

Course Description

Credit Hours: 3.00. Stochastic interest rate models. American options from the probabilistic and PDE points of view. Numerical methods for European and American options, including binomial, trinomial, and Monte-Carlo methods. Typically offered Fall.

Instructor Info.

Section Room Time Instructor Office
MA 51600 002 REC 309 10:30am TR Baudoin, Fabrice MATH 438

Course Materials

Section Type Title Author
ALL Textbook Arbitrage Theory in Continuous Time (Oxford Finance Series) (3) Tomas Bjork
ALL Textbook Introduction to Stochastic Calculus Applied to Finance, Second Edition (Chapman and Hall/CRC Financial Mathematics Series) (2) Damien Lamberton

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