CFRM 550 A: Stochastic Calculus for Quantitative Finance

Autumn 2021
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Meeting:
T 10:00am - 10:50am / LEW 320
SLN:
12328
Section Type:
Lecture
Joint Sections:
CFRM 450 A , CFRM 550 C , CFRM 550 B
Instructor:
FOR ADD CODE, EMAIL ADVISOR SARAH RILEY AT COMPFIN@UW.EDU.
Catalog Description:
Provides a systematic examination of financial derivatives pricing using stochastic calculus. Examines popular stochastic differential equation models such as Geometric Brownian motion, Vasicek, Hull-White, Cox-Ingersoll-Ross, Black-Karasinski, Heath-Jarrow-Morton, and Brace-Gatarek-Musiela, as well as Poisson and Levy processes. Applications include equity, fixed-income, and credit derivatives. Prerequisite: CFRM 504.
Credits:
4.0
Status:
Active
Last updated:
December 3, 2024 - 11:57 pm