MFM 701, Fall 2019
Foundations of Financial Mathematics
Prerequisite(s): Must be enrolled in MFM program
Theoretical development of stochastic calculus in continuous time with emphasis on quantitative risk analysis. Topics include: Measure Theory, Brownian Motion, Ito Calculus, Risk-Neutral Pricing, Stochastic Differential Equations, Connections with Partial Differential Equations, Interest Rate Models.
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