MATH6364 - Stochastic Calculus in Finance

MATH 6364 Stochastic Calculus in Finance (3 semester credit hours) Brownian Motion, Ito Calculus, Feynman-Kac formula and an outline of Stochastic Control, Black Scholes Analysis, Transaction Costs, Optimal Portfolio Investment. Prerequisites: STAT 4351 or equivalent and MATH 2451 or equivalent. (3-0) T