MTH211: Stochastic Dynamics

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Cross Listed:
Offered:
(irregular schedule)
Prerequisites:
MTH 210
This course is a prerequisite or co-requisite for:
(none)
Description:
This course continues the mathematics of finance. We introduce Brownian motion and stochastic integration to derive the Black-Scholes formula using Ito's formula.
Topics covered:
Proof of the Central Limit Theorem. Stochastic integrals and Ito's formula.
Related courses:
MTH 201, MTH 202, MTH 210