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Undergraduate Programs

ECO456H1F Continuous Time Derivative Pricing

The purpose of this course is to analyze the risk neutral price of derivative securities in continuous time. Fundamentals of Brownian Motion and stochastic calculus are introduced and applied to pricing stock, interest rate and foreign currency options. Other topics include Asian, American and Lookback options. The course concludes with martingale methods in consumption investment problems.

Section L0101, Fall 2008–09

Instructor: Gregory Gagnon
Day/time: M3-5
Location: BF215