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MA 51500, Spring 2006

Course Description

Credit Hours: 3.00. An introduction to the mathematical tools and techniques of modern finance theory, in the context of Black-Scholes option pricing. Brownian motion and its stochastic calculus, Ito's formula, and Feynman-Kac formula. Pricing and hedging of claims on Black-Scholes assets. Incomplete markets. Path-dependent options. Stochastic portfolio optimization. Typically offered Spring.

Instructor Info.

Section Room Time Instructor Office
MA 515 0101 7:00pm Ma, Jin MATH 620

Course Materials

There are no materials for this course.

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