Semester(s) Offered:
Prerequisite(s):
MAP 5641 Financial Mathematics I or consent of instructor.
Textbook(s):
Stochastic Calculus for Finance II: Continuous-Time Models, by Steven E. Shreve
Description:
Stochastic processes, Brownian motion and It^o’s integral, Ito’s formula, martingale, Girsanov’s transformation, stochastic differential equations, option pricing.