MATH 8203: Stochastic Calculus for Finn
University of North Carolina, Charlotte
An introduction to those aspects of partial differential equations and diffusion processes most relevant to finance, Random walk and first-step analysis, Markov property, martingales and semi-martingales, Brownian motion. Stochastic differential equations: Ito's lemma, backward and forward Kolmogorov equations, the Feynman-Kac formula, stopping times, Hull and White Models, Cox-Ingersoll-Ross Model. Applications to finance including portfolio optimization and option pricing.
Average GPA: 3.66
Grade distribution records: 48 students across 17 terms.
Grade distribution
| Grade | Students | Percent |
|---|---|---|
| A | 31 | 64.6% |
| B | 11 | 22.9% |
| C | 2 | 4.2% |
| W | 3 | 6.3% |
Based on 48 student grade records across 17 terms and 6 professors.
Instructors
- Aziz Issaka 18 students, Average GPA 3.76
- Mohammad Kazemi 10 students, Average GPA 3.78
- Jaya Bishwal 6 students, Average GPA 4.00
- Mingxin Xu 6 students, Average GPA 3.33
- Sebastien Bossu 5 students, Average GPA 3.75
- Adriana Ocejo Monge 2 students, Average GPA 2.00