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BU.232.650

Continuous Time Finance

Johns Hopkins University 2 credits Finance

Course Description

This course provides a conceptual understanding of the basic ideas in mathematical finance and shows how these ideas are applied to practical situations, through the development and use of financial models. Mathematical abstractions are created which deal with issues including option pricing, risk neutrality, incomplete markets, stochastic volatility, and other responses to the realization of a variety of “unknowns”. Topics include Ito calculus, options theory, martingale pricing, exotic options, jump-diffusion processes, and variance gamma models. Prerequisite(s): BU.232.710(Please note that MS Business Analytics and Artificial Intelligence students are exempt from this prerequisite requirement).

Code
BU.232.650
Credits
2
Subject
Finance

Programs That Include This Course

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