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FE 540 Probability Theory for Financial Engineering

Topics include discrete and continuous distributions, multivariate probability, transformations, pattern appearance, moment generating functions, Laws of large numbers, Markov chains and diffusion processes, prices in markets as random variables and processes, filtrations and information. Applications target financial engineering examples.

Credits

3

Prerequisite

Graduate Student or At Least Junior

Distribution

School of Business

Offered

Fall Semester Spring Semester