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IE 532 Stochastic Models in Finance Select Term:
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.
SU Credits : 3
ECTS Credit : 10
Prerequisite : -
Corequisite : -