Courses

Spring 2023

FE CONTINUOUS TIME MODELS

, 3 pts, E4707

FE CONTINUOUS TIME MODELS

This graduate course is only for MS program in FE students. Modeling, analysis, and computation of derivative securities. Applications of stochastic calculus and stochastic differential equations. Numerical techniques: finite-difference, binomial method, and Monte Carlo.

Section Number
V01
Call Number
18090
Instructor
David C Yao
Open in Vergil

FE CONTINUOUS TIME MODELS

This graduate course is only for MS program in FE students. Modeling, analysis, and computation of derivative securities. Applications of stochastic calculus and stochastic differential equations. Numerical techniques: finite-difference, binomial method, and Monte Carlo.

Section Number
001
Call Number
11636
Day, Time & Location
TR 2:40PM-3:55PM 402 Chandler
Instructor
David D Yao
Open in Vergil