FRE 6231 Stochastic Calculus and Financial Modeling

1.5 Credits

This course extends the core course FE6083 to Stochastic Calculus in Finance, emphasizing the modeling approach and resolution of important problems in derivatives finance, in pricing assets and complex financial products. In addition, cases highlighting the impact of theoretical finance on market trading, investment and portfolio management and related problems are emphasized. Some of the techniques used include Markov chains, random walks, stochastic differential equations and Ito Calculus, optimal stochastic control and stochastic dynamic programming as well as Monte Carlo simulation. These techniques are applied to selected financial engineering models to assess and simulate (using MATLAB and other software) essential derivative and related problems of practical importance in finance.

Prerequisite(s): FRE 6083 .
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0