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
[STAB41H3 or MGFC30H3/(MGTC71H3)] and STAC62H3
Corequisite
Exclusion
APM466H, ACT460H
Breadth Requirements
Quantitative Reasoning