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Course Catalog
Course Catalog
IE 532 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-Scholes 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.
Last Offered Terms
Course Name
SU Credit
Fall 2013-2014
Stochastic Models in Finance
3
Prerequisite: __
Corequisite: __
ECTS Credit: 10 ECTS (10 ECTS for students admitted before 2013-14 Academic Year)
General Requirements:
| IE 532 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-Scholes 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. | |||||||
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| Prerequisite: __ | |||||||
| Corequisite: __ | |||||||
| ECTS Credit: 10 ECTS (10 ECTS for students admitted before 2013-14 Academic Year) | |||||||
| General Requirements: | |||||||