EE 512 Stochastic Processes for Financial Engineering

Units: 4
Terms Offered: FaSp

Theory and applications of stochastic processes relevant to financial engineering. Stochastic processes, Brownian motion, martingales, stochastic calculus, Monte Carlo Simulations with financial application examples.
Prerequisite: EE 503 and (EE 441 or EE 510 or EE 518)
Instruction Mode: Lecture, Discussion
Grading Option: Letter