MTH 500
Introduction to Stochastic Processes
Topics include: Conditional expectation. Markov chains. Poisson process and Compound Poisson process. Continuous-time Markov processes. Discrete-time martingales. Continuous-time martingales. Brownian motion. Stochastic integration and introduction to stochastic differential equations.
MTH 500 Requisite Information:
MTH 500 Let's You Take:
Prerequisite: MTH 404 or MTH 480 or ECN 702
- MTH 600 - Computational Methods in Mathematics
- MTH 660 - Fixed Income Modelling
- MTH 700 - Financial Mathematics I
Prerequisite: MTH 404 or MTH 480 or ECN 702
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