M451 | 8671 | Goodman

Course covers probability theory, Brownian motion, Ito's Lemma, stochastic differential equations, convexity, Hahn-Banach theorem, Lagrange multipliers, Bellman equation, dynamic programming, and the application of these topics to Black-Scholes formula, Capital Assets Pricing Model, the term theory of interest rates, and the relation of Martingale measures to arbitrage.