Stochastic Differential Equations with Applications to Finance

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STAT 581 or CAAM 581 or CMOR 552 Description: This course will cover both theory and applications of stochastic differential equations. Topics include: the Langevin equation from physics, the Wiener process, white noise, the martingale theory, numerical methods and simulation, the Ito and Stratonovitch theories, applications in finance, signal processing, biology, and other fields→STAT 650→unlocks 0 courses

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