MTH 211 - Stochastic Dynamids

Institution:

University of Rochester

Subject:

Description:

Basics of Brownian motion, Ito integrals and stochastic differential equations at a level of rigor appropriate for undergraduates. We will apply this to the Black-Scholes formula for pricing European call options.

Credits:

4.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.rochester.edu

Phone Number:

(888) 822-2256

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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