2018-2019 Undergraduate Catalog 
    Jun 29, 2022  
2018-2019 Undergraduate Catalog [ARCHIVED CATALOG]

MGT425: Continuous Time Finance

3 Credit(s)
This course will begin with Brownian motion, stochastic integration and Ito’s formula from stochastic calculus. This framework is used to develop the Black-Scholes option pricing formula and the Black-Scholes partial differentiation equation. Additional topics will include credit risk, simulation, and expected utility maximization.
Prerequisite or co-requisite: MGT 415  and MTH 301 STA 201 STA 173 , or equivalent.