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- math-670 - introduction-to-the-stochastic-calculus
University of Louisville Course Info
Louisville, Kentucky
Course Info
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MATH 670
Introduction to the Stochastic Calculus
Levy Process, local martingale, stochastic integrals, quadratic variation, Ito's formula, existence and uniqueness of stochastic differential equation. Applications to financial engineering, no arbitrage and martingale measure, Black-Scholes model, edging
Units: 3.0