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Application of stochastic analysis in finance, advanced course for PhD students.
Last update: T_KPMS (25.04.2016)
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In the first part of the semester we price American options and other specialized derivative contracts, assuming the geometric Brownian motion for the stock price. The goal of the second part is to explain jump processes and apply Levy processes for modeling asset prices. Last update: T_KPMS (07.05.2014)
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Steven E. Shreve, Stochastic Calculus for Finance II
Phillip Protter, Stochastic Integration and Differential Equations
Michael Steele, Stochastic Calculus and Financial Applications Last update: T_KPMS (07.05.2014)
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Lecture. Last update: T_KPMS (07.05.2014)
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Continuous and discontinuous martingales in financial mathematics. Pricing under the risk neutral measure. First and Second fundamental theorems of Asset pricing. Feynman-Kac formula. Optimal investment. Term-Structure Models. Duality principle in financial mathematics. Lévy processes.
Last update: T_KPMS (07.05.2014)
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