Caltech Home > PMA Home > Courses
open search form
Up to all Social Science Courses for 2023-24 Show Filters

Social Science (SS) Graduate Courses (2023-24)

SS/Ma 214. Mathematical Finance. 9 units (3-0-6): first term. A course on pricing financial derivatives, risk management, optimal portfolio selection, financial markets equilibria, and optimal compensation of managers using mathematical models. Students will be introduced to methods of Stochastic, Ito Calculus for models driven by Brownian motion. Instructor: Cvitanic.