(syllabus)
THE BINOMIAL MODEL. EVALUATION OF CONTINGENT CLAIMS IN THE DISCRETE TIME. EVALUATION OF CONTINGENT CLAIMS IN THE CONTINUOUS TIME. STOCHASTIC PROCESSES. WIENER PROCESS. BROWNIAN MOTION. ITO PROCESS. ITO'S LEMMA. STOCHASTIC MODELS IN CONTINUOUS TIME. BLACK AND SCHOLES MODEL. BLACK AND SCHOLES EQUATION. FEYNMANN-KAC REPRESENTATION. RISK-NEUTRAL MEASURE.
(reference books)
MATERIAL PROVIDED BY THE TEACHER
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