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Bilkent University

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Undergraduate and Graduate Programs 2024-2025


IE 546 Continuous - Time Finance

Stochastic calculus and its applications to option pricing. Topics include martingales in discrete and continuous time, Brownian motion, stochastic integration, Itô’s formula, stochastic differential equations, Black-Scholes model. Credit units: 3 ECTS Credit units: 5.

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