Martingales in discrete and continuous time, risk-neutral valuations, discrete- and continuous-time (B,S)-security markets, Cox-Ross-Rubinstein formula, Wiener and Poisson processes, Ito formula, stochastic differential equations, Girsanov's theorem, Black-Scholes and Merton formulas, stopping times and American options, stochastic interest rates and their derivatives, energy and commodity models and derivatives, value-at-risk and risk management.
This course may not be repeated for credit.
Antirequisite(s)
- Credit for both Applied Mathematics 681 and 581 will not be allowed.
SyllabusSections
| LEC 1 | R 11:00 - 12:15 T 11:00 - 12:15
| | Deniz Sezer | | |
| Notes: Combined course with AMAT 581 |