Stochastic Methods for Finance

0.5 credits · Undergraduate

Applications of the lognormal distribution, Brownian motion, geometric Brownian motion, martingales, Ito's lemma, stochastic differential equations, interest rate models, the Black-Scholes model, volatility, value at risk, conditional tail expectation. Topics in advanced financial mathematics. Arts and Science students must be enrolled in the Actuarial Science Major or Specialist, the Data Science Specialist, or the Specialist in Statistical Science: Theory and Methods.