Continuous-Time Finance

9 units · Undergraduate

Spring: 9 units This course begins with Brownian motion, stochastic integration, and Ito's formula from stochastic calculus. This theory is used to develop the Black-Scholes option pricing formula and the Black-Scholes partial differential equation. Additional topics may include models of credit risk, simulation, and expected utility maximization. (Three 50 minute lectures) Prerequisites: ( 21-260 or 18-202 ) and 21-370 and (36-217 or 36-225 or 15-259 or 36-218 or 21-325 ) Course Website: https://www.cmu.edu/math/undergrad/math-course-information.html