Course Catalog
| IE 532 Stochastic Models in Finance | 3 Credits | |||||||||
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| 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: | ||||||||||