| Call Number | 11891 |
|---|---|
| Day & Time Location |
F 6:00pm-8:10pm 520 Mathematics Building |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructors | Julien Guyon Bryan Liang |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | Prerequisites: familiarity with Brownian motion, Itô's formula, stochastic differential equations, and Black-Scholes option pricing. Prerequisites: Familiarity with Brownian motion, Itô's formula, stochastic differential equations, and Black-Scholes option pricing. Nonlinear Option Pricing is a major and popular theme of research today in quantitative finance, covering a wide variety of topics such as American option pricing, uncertain volatility, uncertain mortality, different rates for borrowing and lending, calibration of models to market smiles, credit valuation adjustment (CVA), transaction costs, illiquid markets, super-replication under delta and gamma constraints, etc. The objective of this course is twofold: (1) introduce some nonlinear aspects of quantitative finance, and (2) present and compare various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. |
| Web Site | Vergil |
| Department | Mathematics |
| Enrollment | 19 students (40 max) as of 12:06PM Tuesday, December 3, 2024 |
| Subject | Mathematics |
| Number | GR5400 |
| Section | 001 |
| Division | Graduate School of Arts and Sciences |
| Note | Priority to MAFN Students. Open to Stats 9/9 and Univ. 9/11 |
| Section key | 20243MATH5400G001 |