Notice: For the latest information and guidance on Purdue's response to COVID-19 please visit: https://coronavirus.purdue.edu/students

Quantitative Finance I

STAT54000

Credit Hours:

3

Learning Objective:

Successful completion of this course will prepare you to:
  1. Describe basic background knowledge of quantitative finance
  2. Recognize historical problems of quantitative finance.
  3. Identify power and limitation of quantitative methods in modern finance problems.

Description:

An introduction to the mathematical tools and techniques of modern finance theory, in the context of Black-Scholes option pricing. Brownian motion and its stochastic calculus, Ito's formula, and Feynman-Kac formula. Pricing and hedging of claims on Black-Scholes assets. Incomplete markets. Path-dependent options. Stochastic portfolio optimization.

Topics Covered:

binomial tree model, stochastic integral, arbitrage pricing and hedging, derivatives, option Greeks

Prerequisites:

MA/STAT 519

Applied / Theory:

50 / 50

Textbooks:

Arbitrage Theory in Continuous Time by Bj??rk. Oxford U.P. Fourth Edition

Computer Requirements:

ProEd Minimum Requirements:

view