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MATH681

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Stochastic Calculus for Finance

Mathematics and StatisticsSC - Faculty of Science
Overview

Subject

MATH - Mathematics

Description

Martingales in discrete and continuous time, risk-neutral valuations, discrete- and continuous-time (B,S)-security markets, the Cox-Ross-Rubinstein formula, Wiener and Poisson processes, Itô's formula, stochastic differential equations, Girsanov's theorem, the Black-Scholes and Merton formulas, stopping times and American options, stochastic interest rates and their derivatives, energy and commodity models and derivatives, value-at-risk and risk management.

Prerequisite(s): Admission to a graduate program in Mathematics and Statistics or consent of the Department.

Antirequisite(s): Credit for Mathematics 681 and any one of Mathematics 581, Applied Mathematics 681, or Applied Mathematics 581 will not be allowed.

Also known as: (formerly Applied Mathematics 681)

Signature Learning

Research & Creative Scholarship

Course Attributes

Fee Rate Group(Domestic) - A, Fee Rate Group(International) -B, GFC Hours (3-0), Research & Creative Scholarship - Related

Courses may consist of a Lecture, Lab, Tutorial, and/or Seminar. Students will be required to register in each component that is required for the course as indicated in the schedule of classes. Practicums, internships or other experiential learning modalities are typically indicated as a Lab component.

Component

LEC

Units

3

Repeat for Credit

No

Subject code

MATH
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