Class Id: 9441
Days: TTh
Start Time: 01:30 PM
End Time: 02:50 PM
Building: ROBEH
Room: 023
Course Id: 4227
Departments and Numbers: ORF 527
Area:
Title: Stochastic Calculus and Finance
Description: An introduction to stochastic analysis based on Brownian motion. Topics include local martingales, the Ito integral and calculus, stochastic differential equations, the Feynman-Kac formula, representation theorems, Girsanov theory, and applications in finance.
Prerequisites:
Professors: Patrick Cheridito
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Created by Bob Dondero.