STAT 492 - Stochastic Calculus for Option Pricing

Institution:

University of Washington-Seattle Campus

Subject:

Statistics

Description:

Introductory stochastic calculus mathematical foundation for pricing options and derivatives. Basic stochastic analysis tools, including stochastic integrals, stochastic differential equations, Ito’s formula, theorems of Girsanov and Feynman-Kac, Black-Scholes option pricing, American and exotic options, bond options. Offered: jointly with MATH 492; W.

Credits:

3.00

Credit Hours:

Prerequisites:

MATH STAT 394-5

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.washington.edu

Phone Number:

(206) 543-2100

Regional Accreditation:

Northwest Commission on Colleges and Universities

Calendar System:

Quarter

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