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May 06, 2024
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FINA 7355 - Stochastic Calculus and Computational Finance Credit Hours: 3
Lecture Contact Hours: 3 Lab Contact Hours: 0
Prerequisite: Graduate standing and FINA 6A35.
This course studies the fundamentals of innovations in quantitative finance. It provides an extended introduction to basic stochastic calculus, and major valuation techniques -PDE methods and martingale methods - applied to a variety of derivative contracts. Students will learn to implement PDE and martingale models using numerical methods - PDE solvers and Monte Carlo techniques - and will also investigate how to utilize basic econometric techniques to evaluate and validate models.
Repeatability: No
Additional Fee: N
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