21-420 Continuous-Time Finance

9 units, Carnegie Mellon University

This course begins with Brownian motion, stochastic integration, and Ito's formula from stochastic calculus. This theory is used to develop the Black-Scholes option pricing formula and the Black-Scholes partial differential equation. Additional topics may include models of credit risk, simulation, and expected utility maximization. (Three 50 minute lectures)

Prerequisites: (21-260 or 18-202) and 21-370 and (21-325 or 36-217 or 15-259 or 36-225 or 36-218)

Offered: Spring 2027, Spring 2026

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