MATH 530b Stochastic Calculus and Mathematical Finance

Units: 3
Terms Offered: Sp

Advanced topics in stochastic analysis, asset pricing in continuous time, stochastic control, Hamilton-Jacobi-Bellman equations, incomplete markets, American options, exotic options, term structure of interest rates.
Duplicates Credit in the former MATH 506.
Instruction Mode: Lecture
Grading Option: Letter