Special Topics in Operations Research and Financial Engineering - Stochastic Methods for Quantitative Finance
This course is an introduction to stochastic calculus at the undergraduate level with applications to financial models. The emphasis is on computational and practical techniques. Topics include: Brownian motion; Ito's formula; stochastic differential equations; partial differential equations; Girsanov's theorem; simulation and finite difference numerical methods; implementation in Matlab; applications in finance.
Homework due weekly
Mid Term Exam - 20%
Final Exam - 40%
Problem set(s) - 40%
Not Open to Freshmen.
Prerequisites and Restrictions:
|22822||L01||1:30 pm - 2:50 pm||M W||Robertson Hall 002||Enrolled:24 Limit:40|