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MATH 5635

Stochastic Calculus for Finance I

The Ohio State University 3 credits Mathematics

Course Description

Mathematics used in financial asset pricing, based on Wiener (Brownian motion) processes, with applications. Overview of needed real analysis, stochastic processes, Ito Calculus, Riskneutral measure, connections with PDEs. Prereq: A grade of C- or above in 3589 or 3345; and a grade of C- or above in 4530, 5530H, or Stat 4201; and enrollment in Math major or Actuarial Science major; or Grad standing; or permission of department.

Code
MATH 5635
Credits
3
Subject
Mathematics

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