| Class Id | 9441 |
| Days | TTh |
| Start time | 01:30 PM |
| End time | 02:50 PM |
| Building | ROBEH |
| Room | 023 |
| Course Id | 4227 |
| Dept and Number | 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 | |
| Professor | Patrick Cheridito |