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IE 432 Stochastic Models in Finance
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.
SU Credits : 3.000
ECTS Credit : 6.000
Prerequisite : -
Corequisite : -