Class Id: 9431
Days: TTh
Start Time: 01:30 PM
End Time: 02:50 PM
Building: EQUAA
Room: A224
Course Id: 4218
Departments and Numbers: 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.
Professors: Ramon van Handel
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Created by Bob Dondero.