MATH 6203: Stochastic Calculus for Finance

University of North Carolina, Charlotte

This course starts with the probability theory in discrete probability space, discrete-time stochastic processes, and derivatives pricing in the Binomial model. The second part covers probability theory in general probability space and continuous-time martingale and Markov processes. Topics include: the It'o integral, Black-Scholes model, It'o-Doeblin formula, Girsanovs theorem, and Martingale Representation theorem. Applications to pricing of exotic derivatives and American options are discussed.

Average GPA: 3.43

Instructors

• Aziz Issaka 214 students, Average GPA 3.55
• Mohammad Kazemi 104 students, Average GPA 3.19
• Jaya Bishwal 47 students, Average GPA 3.69
• Mingxin Xu 41 students, Average GPA 3.16
• Sebastien Bossu 39 students, Average GPA 3.76
• Adriana Ocejo Monge 31 students, Average GPA 3.15