MATHEMATICS OF FINANCIAL DERIVATIVES
Session
Regular Academic Session
Class Number
6275
Career
Graduate
Units
3 units
Grading
GRADUATE GRADING
Description
Modern pricing theory for financial derivatives, stochastic differential equations, Ito formula, martingales, Girsanov Theorem, Feynman-Kac PDE, term structure, Interest-Rate models and derivatives, optimal stopping and American options.
Prerequisites: MATH 585 , or equivalent.
Class Details
Instructor(s)
Moustapha N. Pemy
Meets
Tu 5:00PM - 7:40PM
Dates
08/26/2019 - 12/17/2019
Room
YR0218
Campus
Main Academic Campus
Location
On Campus
Components
Lecture Required
Class Availability
Status
Open
Seats Taken
9
Seats Open
11
Class Capacity
20
Wait List Total
0
Wait List Capacity
0