University of Calgary

MATH 581 - Stochastic Calculus for Finance - Fall 2021

Martingales in discrete and continuous time, risk-neutral valuations, discrete- and continuous-time (B,S)-security markets, Cox-Ross-Rubinstein formula, Wiener and Poisson processes, Ito formula, stochastic differential equations, Girsanov's theorem, 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.

Hours

  • H(3-0)

Prerequisite(s)

  • Mathematics 383; and 6 units of Mathematics in the Field of Mathematics at the 400 level or above.

Antirequisite(s)

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

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