Course Catalog Entry |
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Course ID: |
MATH 670 |
Effective Date: |
07/01/2003 |
Title: |
Introduction to the Stochastic Calculus |
Career: |
Graduate |
Credit Hours: |
3.00 |
Description: |
Prerequisite: MATH 660 or consent of the department.
Levy Process, local martingale, stochastic integrals, quadratic variation, Ito's formula, existence and uniqueness of stochastic differential equation. Applications to financial engineering, no arbitrage and martingale measure, Black-Scholes model, edging. |
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