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.
( ACT240H1, ACT245H1, ACT247H1, ACT350H1/ STA347H1) OR ( ACT350H1/ STA347H1, MAT237Y1/ MAT257Y1) Note: Students in the Theory and Methods Specialist in Statistics Program need to submit an application to the department during the priority course enrollment period. A link to the online application form is available on the Department of Statistical Sciences website.
