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FIM 547 Stochastic Calculus for Finance
This course explores stochastics calculus with its applications in pricing and hedging problems for financial derivatives such as options. Topics to be covered in the course include 1) discrete and continuous martingales, 2) Brownian motions and Ito's stochastic calculus, and 3) Black-Scholas framework for financial derivatives pricing and hedging.
Prerequisite: 贵滨惭听528 and MA(ST) 546
Typically offered in Spring only