MA 51600, Fall 2017

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 113 8:30am MWF Lee, Kiseop No Office

Course Materials

Section Type Title Author
ALL Textbook Arbitrage Theory in Continuous Time (Oxford Finance Series) (3) Tomas Bjork

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