Stochastic calculus and the dynamics of asset prices, martingale theory and risk-neutral valuation, interest rate models, energy and commodity markets, value-at-risk and risk management.
This course may not be repeated for credit.
Prerequisite(s)
- Applied Mathematics 483 and Statistics 407
Sections
| LEC 1 | M 11:00 - 12:00 M 14:00 - 15:00 W 11:00 - 12:00 M 14:00 - 15:00 T 12:30 - 14:00
| | Antony Ware | | Outline |
This course will be offered next in
Winter 2009.