Apr 19, 2024  
2008-2009 Graduate Catalog 
    
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2008-2009 Graduate Catalog [NOTE!!!! THIS IS AN ARCHIVED CATALOG. FOR THE CURRENT CATALOG, GO TO CATALOG.NIU.EDU]

STAT 583 - Stochastic Processes and Financial Models

Finite-dimensional and steady-state properties of discrete-time Markov chains. Homogeneous, and non-homogeneous, Poisson and compound Poisson processes. Thinning and summing of independent Poisson processes. Brownian motion processes and Ito’s lemma. Put-call parity, the binomial model and Black-Scholes formula. Option Greeks, delta-hedging, exotic options and actuarial applications of option pricing.

Prerequisites & Notes
PRQ: STAT 570 or consent of division.

Credits: 4