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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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