Math 48200: Stochastic Calculus in Financial Engineering
Supervisor: Eli Amzallag
Review of probability theory, Gaussian processes, properties of Brownian motion, martingales, Ito calculus, stochastic differential equations, selected applications to mathematical finance; simulations incorporated at the discretion of the instructor. 4 HR./WK.; 4 CR.
Prerequisites: C or better in Math 38100 or departmental permission.
This course was created in the June 2023 AUR.
Last Updated: 09/30/2025 15:16