3.0 Hours; 3.0 Credits

This course covers the basic stochastic processes and probabilistic techniques used in finance, for example: random walks, Markov chains, martingales, Brownian Motion, stochastic integration, and Ito’s formula. The Black-Scoles formula is presented from the standpoint of expectation in an appropriate probability space.

Prerequisite: MTH 9814 and MTH 9831