Subject: Subject Sylbus: Continuous Time Models in Finance - 097510

Continuous Time Models in Finance - 097510
Will not be given the year
Credit
Points
2.0
 
  Lecture Exercise Laboratory Project or
Seminar
House
Work
Weekly
Hours
2       5

Determination of the grade according to progress during the semester and a final examination.


Prerequisites: ( Stochastic Models in Oper.Research 094314
and Dynamic Models in Operations Research 094323
and Digital Simulation 094334 )


Stochastic Calculus, Derivation of the Black and Scholes Model Using Ito'S Lemma, Valuation of Options Using Girsanov Theory, Interest Rates Derivatives, Hjm Model, Numerical Approximations, Optimal Portfolio Selection in Dynamic Markets.




System of hours to the semesters
Semester Previous Semester information 01/2020 2020/2021 Winter Semester


Textbooks
PublishedPublisherAuthorsBook
1996 darrel duffie darrel duffie"dynamic securities market". 2nd edition.
1996mc graw hilljohn hull john hull"options, futures and other derivative securities" 2nd edition

Created in 22/04/2021 Time 13:48:10