SS 214 - Mathematical Finance

Institution:

California Institute of Technology

Subject:

Social Science

Description:

A course on fundamentals of the mathematical modeling of stock prices and interest rates, the theory of option pricing, risk management, and optimal portfolio selection. Students will be introduced to the stochastic calculus of various continuous-time models, including diffusion models and models with jumps. Not offered 2012–13.

Credits:

9.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.caltech.edu

Phone Number:

(626) 395-6811

Regional Accreditation:

Western Association of Schools and Colleges

Calendar System:

Quarter

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