COURSE INFO
VECTOR[3-0-0:3]
PREVIOUS CODEFTEC 6910D
DESCRIPTIONThis is a graduate level course in stochastic calculus for MPhil/PhD students in Financial Technology and other related fields. This course aims to provide a rigorous mathematical introduction to the tools of stochastic calculus used in derivative pricing and financial modeling. Topics include Brownian motion, stopping times, stochastic integral, Itô’s formula, stochastic differential equations, martingales, Girsanov’s theorem, option pricing, etc.

FTEC 5061 - Stochastic Calculus for Financial Technology (3 units)

SectionDate & TimeRoomInstructorQuotaEnrolAvailWaitRemarks
L01 (6190) Tu 01:30PM - 04:20PMRm 101, W2WANG, Zhuoran
ZHANG, Ying		2010100