The City College of New YorkCCNY
Department of Mathematics
Division of Science

Math 48200: Stochastic Calculus in Financial Engineering

Supervisor: Eli Amzallag

Review of probability theory, Gaussian processes, properties of Brownian motion, martingales, Ito calculus, stochastic differential equations, selected applications to mathematical finance; simulations incorporated at the discretion of the instructor. 4 HR./WK.; 4 CR.

Prerequisites: C or better in Math 38100 or departmental permission.

This course was created in the June 2023 AUR.

The City College of New YorkCUNY
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