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Spring 2019 Mathematics GR5400 section 001
NON-LINEAR OPTION PRICING

Call Number 73676
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 Classroom
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 41 students (49 max) as of 8:09PM Tuesday, July 23, 2019
Status Full
Final Exam Day/Time
F 6:00pm-8:10pm
Final Location 520 Mathematics Building
Subject Mathematics
Number GR5400
Section 001
Division Graduate School of Arts and Sciences
Open To Barnard, Columbia College, Engineering and Applied Science: Graduate, Graduate School of Arts and Science, General Studies, School of Professional Studies, Global Programs, International and Public Affairs
Campus Morningside
Note MAFN Students ONLY. Open to STATS 1/07. Open to Univ. 1/15
Section key 20191MATH5400G001

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SIS update 07/23/19 20:09    web update 07/23/19 20:19