GFIN 5002 -

Institution:

The New School

Subject:

Description:

Quantitative Finance The course covers basic mathematical tools for derivatives. Focus is given to the basics of stochastic calculus. Ito's lemma and its applications are covered extensively. Stochastic differential equations and Partial differential Equations are discussed. The course contains several examples to Martingale representation theorem and has overall an applied perspective.The second part of the course deals with numerical methods such as Monte Carlo and discretisation of differential equations and of Partial differential equations. The course ends with a discussion of Markov Chan Monte Carlo.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.newschool.edu

Phone Number:

(212) 229-5600

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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