Note: The course will start in the second week of lectures on April 22.
Goals
Content:
Fundamentals on stochastic processes for financial products
Properties of geometric Brownian motion
Option pricing using differential equations
Risk-neutral valuation
Derivation of Black-Scholes formula
Numercial methods
Objectives: During this course students will obtain an in-depth knowledge in derivatives pricing by using continuous-time concepts of modern finance theory as well as their application to equity and other securities. Having completed this course, students will be able to approach the literature in this field successfully and apply continuous-time techniques for arbitrary derivatives pricing challenges.
Literature:
Hull, J. (2014): Options, Futures, and Other Derivatives, 9th ed., Upper Saddle River.
Shreve, S. (2010): Stochastic Calculus for Finance II: Continuous-Time Models, 2nd ed., Springer Finance.
