Skip to content
DeutschFrançaisPусскийالعربيةفارسیTürkçe
DeutschFrançaisPусскийالعربيةفارسیTürkçe

Stochastic Analysis (MATH326)

Discrete-time models: Martingale and arbitrage opportunities, financial markets and option pricing, Optimal stopping problem and American options: Stopping time, decomposition of super-martingales, application to the American option, Continuous-time processes and stochastic differential equations: General comments, Brownian motion, continuous-time martingales, stochastic integral and Ito calculus, stochastic differential equations. The Black-Scholes model: Description of the model, the Girsanov theorem, pricing and hedging of options in the Black-Scholes model, American options in the Black-Scholes model, Option pricing and partial differential equations: European option pricing and diffusions, solving parabolic equations numerically, American options, Interest rate models: Modelling principles, some classical models, Asset models with jumps: Poisson process, dynamics of risky assets, Simulation and algorithms for financial models.

Related Programs