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Quantitative Finance I
STAT54000
Credit Hours:
3Learning Objective:
Successful completion of this course will prepare you to:- Describe basic background knowledge of quantitative finance
- Recognize historical problems of quantitative finance.
- 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.