Course No
M565
Credit
4
Approval
Syllabus
Financial market models in finite discrete time, Absence of arbitrage and martingale measures, Valuation and hedging in complete markets, Basic facts about Brownian motion, Stochastic integration, Stochastic calculus: ItÔ’s formula, Girsanov transformation, Itˆo’s representation theorem, BlackScholes formula
Reference Books
- J. Jacod, P. Protter, “Probability Essentials”, Universitext, Springer-Verlag, 2003.
- D. Lamberton, B. Lapeyre, “Introduction to Stochastic Calculus Applied to Finance”, Chapman-Hall, 2008.
- H. F ̈ollmer, A. Schied, “Stochastic Finance: An Introduction in Discrete Time”, de Gruyter, 2011.