Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential equations and stochastic control theory. Recommended prerequisite: previous coursework equivalent to that of APPM 3310 and one of APPM 3570, STAT 3100 or MATH 4510; all with minimum grade of C-. Same as APPM 4530, STAT 5230 and STAT 4230.
instructor(s)
Huang, Yu-Jui
Primary Instructor
- Fall 2018 / Fall 2019 / Fall 2020 / Fall 2021 / Fall 2022 / Fall 2023
