Course Description

Statistical Sciences 421a/b Advanced Financial Modelling

Martingales in financial modelling, continuous time models, Ito's calculus, stochastic differential equations, discrete time approximations, ARCH models, stock market volatility, exotic options.

Prerequisites: A minimum grade of "C" in Statistical Sciences 420a/b and in one of Statistical Sciences 325a/b or the former Actuarial Science 325a/b. Statistical Sciences 450a/b is recommended.
3 lecture hours, half course.


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