University of Calgary

MATH 681 - Stochastic Calculus for Finance - Fall 2016

Martingales in discrete and continuous time, risk-neutral valuations, discrete- and continuous-time (B,S)-security markets, the Cox-Ross-Rubinstein formula, Wiener and Poisson processes, Itô¿s formula, stochastic differential equations, Girsanov¿s theorem, the Black-Scholes and Merton formulas, stopping times and American options, stochastic interest rates and their derivatives, energy and commodity models and derivatives, value-at-risk and risk management.
This course may not be repeated for credit.


  • H(3-0)


  • Applied Mathematics 481.


  • Credit for more than one of Mathematics 681, Applied Mathematics 681 and 581 and will not be allowed. Also known as: (formerly Applied Mathematics 681)


This course will be offered next in Fall 2017.
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