STAC70H3 Statistics and Finance I

A mathematical treatment of option pricing. Building on Brownian motion, the course introduces stochastic integrals and Itô calculus, which are used to develop the Black-Scholes framework for option pricing. The theory is extended to pricing general derivatives and is illustrated through applications to risk management.

Prerequisite: 
Corequisite: 
Exclusion: 

APM466H, ACT460H

Breadth Requirements: 
Quantitative Reasoning