A comprehensive introduction to continuous-time Mathematical Finance. This course introduces Brownian motion and Ito calculus and covers interest rate models and derivatives, the Black-Scholes model and the Black-Scholes partial differential equation, implied volatility and Merton's optimal portfolio problem. This course, together with MATH 2281 3.0 "Models for Financial Economics", prepares students for topics covered in the IFM and QFI Core exams of the Society of Actuaries.
Prerequisites: SC/MATH 2131 3.0, SC/MATH 2281 3.0
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