Stochastic Analysis in Financial Mathematics - NMFM535
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Last update: T_KPMS (14.05.2013)
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Last update: T_KPMS (14.05.2013)
The goal of the course is to explain modeling of stock prices, option pricing, and optimal control. In the first part of the semester we analyze models in disrete time -- the binomial model for the stock price. In the second part we model the stock price by assuming the geometric Brownian motion.
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Last update: T_KPMS (14.05.2013)
Steven E. Shreve, Stochastic Calculus for Finance I Steven E. Shreve, Stochastic Calculus for Finance II
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Last update: T_KPMS (14.05.2013)
Lecture + exercises. |
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Last update: T_KPMS (14.05.2013)
Black-Scholes model. Pricing of Options.
Optimal Control - the problem of expected utility maximization.
The first and second fundamental theorems of mathematical finance.
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