Course Catalog
IE 432 Stochastic Models in Finance | 3 Credits | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
The objective of the course is to introduce basic stochastic models and techniques used in mathematical finance. The first half of the course is dedicated to discrete-time models, the other half to their continuous-time counterparts. The topics covered include pricing and hedging in binomial models and Black-Sholes models, fundamental theorems of asset pricing, martingales, Brownian motion, stochastic integration, Itô rule. Depending on the progress in class, we also briefly discuss SDE?s as they appear in continuous-time models. | ||||||||||
|
||||||||||
Prerequisite: IE 303 - Undergraduate - Min Grade D | ||||||||||
Corequisite: __ | ||||||||||
ECTS Credit: 6 ECTS (6 ECTS for students admitted before 2013-14 Academic Year) | ||||||||||
General Requirements: | ||||||||||