MATH 530a Stochastic Calculus and Mathematical Finance

Units: 3
Stochastic processes revisited, Brownian motion, Martingale theory, stochastic differential equations, Feynman-Kac formula, binomial models, basic concepts in arbitrage pricing theory, equivalent Martingale measure.
Recommended Preparation: MATH 225, MATH 407.
Duplicates Credit in the former MATH 503.
Instruction Mode: Lecture
Grading Option: Letter