Number:

46945

Title:

Stochastic Calculus for Finance II

Concentration:

Finance

Prerequisites:

46944  Stochastic Calculus I AND 46941  Multiperiod Asset Pricing

Description:

This course develops Girsanovâ€™s Theorem which is used for changeofmeasure arguments in finance. Applications presented are riskneutral pricing and its connection with partial differential equations currency options and forward measures in fixedincome models. Jump processes and their application to option pricing will be introduced.
Prerequisite
Stochastic Calculus for Finance I
Text
Stochastic Calculus for Finance II ContinuousTime Models SpringerVerlag New York 2004
