MATH-GA 2792

Continuous Time Finance

New York University · UGRD · Fall 2026

1 section

Catalog description

Advanced option pricing and hedging using continuous time models: the martingale approach to arbitrage pricing; interests rate models including the Heath-Jarrow-Morton approach and short rate models; the volatility smile/ skew and approaches to accounting for it.

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Class #new_york-MATHGA2792Fall 2026UGRD3 credits

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