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)