Mathematics 797FM - ST-Advanced Financial Math

Fall
2013
01
3.00
Hongkun Zhang

TU TH 2:30PM 3:45PM

UMass Amherst
39491
This course will start from stochastic calculus, including Brownian motion, stochastic integrals, the Ito formula, Black-Scholes equations, analysis of diffusion processes, Girsanov transformation, Feynmann-Kac formula. Then we'll study applications in financial math, including Kolmogorov equations and derivative securities equivalent martingale measure, risk-neutral pricing, optimal stopping, options pricing, put-call parity, etc.
PreReq: STATISTC 605
Permission is required for interchange registration during the add/drop period only.
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