Course Schedule and Catalog
Course Schedule - Spring Semester 2025
Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).Additional information available here.
Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).Additional information available here.
STAT 650 001 (CRN: 26571)
STOCH DIFF EQU WITH APP FINA
Long Title: STOCHASTIC DIFFERENTIAL EQUATIONS WITH APPLICATIONS TO FINANCE
Department: Statistics
Instructor: Viens, Frederi
Meeting: 6:00PM - 8:30PM T (13-JAN-2025 - 25-APR-2025)
Part of Term: Full Term
Grade Mode: Standard Letter
Course Type: Lecture
Language of Instruction: Taught in English
Method of Instruction: Face to Face
Credit Hours: 3
Course Syllabus:
Course Materials: Rice Campus Store
Restrictions:
Must be enrolled in one of the following Level(s):
Graduate
Prerequisites: STAT 581 OR CAAM 581 OR CMOR 552
Section Max Enrollment: 25
Section Enrolled: 0
Enrollment data as of: 14-NOV-2024 5:08PM
Final Exam: No Final Exam
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.