| Course Id |
4218 |
| Dept and Number |
ORF
474
|
| Area |
|
| Title |
Special Topics in Operations Research and Financial Engineering: Stochastic Methods for Quantitative Finance |
| Description |
This course is an introduction to stochastic calculus at the undergraduate level with applications to financial models. The emphasis is on computational and practical techniques. Topics include: Brownian motion; Ito's formula; stochastic differential equations; partial differential equations; Girsanov's theorem; stochastic control; simulation and finite difference numerical methods; implementation in Matlab. |
| Prerequisites |
Probability at the level of ORF 309. |
| Professor |
Ramon van Handel |