Social Science (SS) Courses (2017-18)
SS/Ma 214.
Mathematical Finance.
9 units (3-0-6):
second term.
Prerequisites: Good knowledge of probability theory and differential equations. Some familiarity with analysis and measure theory is helpful.
A course on pricing financial derivatives, risk management, and optimal portfolio selection using mathematical models. Students will be introduced to methods of Stochastic, Ito Calculus for models driven by Brownian motion. Models with jumps will also be discussed.
Instructor: Cvitanic.