MA 372 Stochastic Calculus for Finance 3-0-0-6
Syllabus: General probability spaces, filtrations, conditional expectations, martingales and stopping times, Markov processes; Random walks, Brownian motion and its properties; Itô integral and its properties, Itô processes, Itô- Doeblin formula; Derivation of the Black-Scholes-Merton equation, Black-Scholes-Merton formula, multi-variable stochastic calculus; Risk-neutral valuation, risk-neutral measure, Girsanov's theorem for change of measure, martingale representation theorem, fundamental theorems of asset pricing; Stochastic differential equations and their solutions, Feynman-Kac theorem and its applications.
Texts:
References: