MGTF 411. Stochastic Calculus and Continuous Time Finance (4 units)
Link to catalog page: https://catalog.ucsd.edu/courses/MGT.html#mgtf411
Description
Many closed-form analytic results in finance are obtained in the continuous-time setting. This course covers portfolio choice, derivative pricing, and term structure modeling in continuous time setting. The objective is to understand important topics and master techniques of continuous-time models. Letter grades only. Students may not receive credit for both MGTF 411 and MGT 286. These are course duplicates. Prerequisites: restricted to master of finance program or by consent of instructor and department stamp.
Prerequisite courses
MGTF 411 has no prerequisite courses.
Successor courses
No courses have MGTF 411 as a prerequisite.