Description:

This course introduces martingales, Brownian motion, Ito integrals and Ito’s formula, in both the univariate and multivariate case. This is done within the context of the BlackScholes option pricing model and includes a detailed examination of this model. Prerequisite: MultiPeriod Asset Pricing 46941 and knowledge of calculusbased probability theory. Text: S. Shreve, Stochastic Calculus for Finance II: ContinuousTime Models, SpringerVerlag, New York, 2004.
