Hours
36L
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.
Prerequisite
Recommended Preparation
ACT370H1 strongly recommended
Distribution Requirements
Science
Breadth Requirements
The Physical and Mathematical Universes (5)
Mode of Delivery
In Class