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Theory of Financial Markets BUS 891 (3)

Continuous time is used for the celebrated Black-Scholes Model for pricing derivatives and is also often the most intuitive way to tackle asset pricing, term structure theory and portfolio selection. Through first laying the foundations in discrete time to illustrate the basic mechanisms, continuous time is gently introduced by working out its analogs that form a cornerstone of much of modern finance. Prerequisite: Students need permission from the program before entering the research stream.