Course Detail
Units:
3.0
Course Components:
Lecture
Enrollment Information
Enrollment Requirement:
Prerequisites: "C" or better in MATH 2280 AND MATH 5010.
Description
For Ph.D. students only. Extra work is required; this should be arranged with the instructor before the end of the second week of classes. Continuous-time finance fundamentals, topics include exotic options, interest rate term structure models, jump processes, credit models, and statistical arbitrage strategies.