IE 526
spring 2017
All Classes
Stochastic Calculus in Finance
Credit: 4 hours.
Stochastic calculus approach to the pricing and risk management of derivative securities; no arbitrage pricing; Brownian motion; stochastic calculus; the Black-Scholes-Merton mode; risk neutral valuation; Feynman-Kac theorem; transform methods; exotic derivatives; change of numeraire; term structure interest rate mode; stochastic volatility and jump models.
Prerequisite: IE 525.
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