4.0

Average Course Rating

A basic knowledge of stochastic calculus and Brownian motion is assumed. Topics include stochastic differential equations, the Feynman-Kac formula and connections to partial differential equations, changes of measure, fundamental theorems of asset pricing, martingale representations, first passage times and pricing of path-dependent options, and jump processes. Student must pass EN.553.627 with a grade of B- or better to enroll in EN.553.628.