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. Topics in advanced financial mathematics. Prerequisite ACT240H1 (minimum 63%), ACT245H1 (minimum 63%), ACT247H1 (minimum 63%), ACT350H1/ STA347H1 Recommended Preparation ACT370H1 strongly recommended Breadth Requirements The Physical and Mathematical Universes (5)
