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Course Details
Carnegie Mellon: Tepper School of Business
Number:
46945
Title:
Stochastic Calculus for Finance II
Concentration:
Finance
Prerequisites:
46944 - Stochastic Calculus I AND 46941 - Multiperiod Asset Pricing
Description:
This course develops Girsanov’s Theorem which is used for change-of-measure arguments in finance. Applications presented are risk-neutral pricing and its connection with partial differential equations currency options and forward measures in fixed-income models. Jump processes and their application to option pricing will be introduced.
Prerequisite
Stochastic Calculus for Finance I
Text
Stochastic Calculus for Finance II Continuous-Time Models Springer-Verlag New York 2004
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