MA 51500, Spring 2017
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 51500 001 |
UNIV 217 |
1:30pm |
MWF |
Lee, Kiseop |
No Office |
Course Materials
Important Notes
- ADA policies: please see our ADA Information page for more details
- In the event of a missed exam, see your instructor/professor as soon as possible.
- See the online course evaluation page for more information on how we collect course feedback from students