Course Description 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. |
| Academic Calendar |
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