Science - Course - Stochastic Processes and Financial Applications

  • Course Code: STAT614
  • Credits: 3
  • Hours Distribution: (3crs.)
  • Course Type: Pathway: Finance (PF)

Course Description

To understand the theory of continuous time stochastic processes and stochastic differential calculus and be able to apply it to solve problems in mathematical finance, in particular contingent claim pricing by martingale methods. Textbook: Kijima M, Stochastic Processes with Applications to Finance, CRC Press (1st Edition), 2002. Lamberton D and Lapeyre B, Introduction to Stochastic Calculus applied to Finance, Chapman & Hall, 1996.