Special Topics in Financial Mathematics
9 units (3-0-6) |
Prerequisites: ACM 95/100 or instructor's permission.
A basic knowledge of probability and statistics as well as transform methods for solving PDEs is assumed. This course develops some of the techniques of stochastic calculus and applies them to the theory of financial asset modeling. The mathematical concepts/tools developed will include introductions to random walks, Brownian motion, quadratic variation, and Ito-calculus. Connections to PDEs will be made by Feynman-Kac theorems. Concepts of risk-neutral pricing and martingale representation are introduced in the pricing of options. Topics covered will be selected from standard options, exotic options, American derivative securities, term-structure models, and jump processes. Not offered 2021-2022.
The online version of the Caltech Catalog is provided as a convenience; however, the printed version is the only
authoritative source of information about course offerings, option requirements, graduation requirements,
and other important topics.