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Apr 19, 2024
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MATH 6385 - Continuous-Time Models in FinanceCr. 3 per semester. (3-0)
Prerequisite: MATH 6384 or consent of instructor. Stochastic calculus, Brownian motion, change of measures, Martingale representation theorem, pricing financial derivatives whose underlying assets are equities, foreign exchanges, and fixed income securities, single-factor and multi-factor HJM models, and models involving jump diffusion and mean reversion.
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