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STAT W3201 Math Finance in Continuous Time. 3 points.

CC/GS: Partial Fulfillment of Science Requirement
Not offered during 2018-19 academic year.

Prerequisites: MATH V3050.

This follows MATH V3050. Basic concepts in probability theory, and then advanced concepts, including Brownian motion, stochastic calculus, expectation, Radon-Nikodym theorem, Girsanov's theorem, stochastic differential equations (inlcuding Black-Merton-Scholes), options and hedging, stochastic interest rates, forwards and futures. Formal proofs will be eschewed in favor of understanding concepts.