Continuous Time Models in Finance - 097510
Will not be given the year
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Lecture |
Exercise |
Laboratory |
Project or
Seminar |
House
Work |
Weekly
Hours |
2 |
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5 |
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Determination of the grade according to progress during the semester and a final examination.
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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.
Textbooks| Published | Publisher | Authors | Book |
|---|
| 1996 | | darrel duffie darrel duffie | "dynamic securities market". 2nd edition. |
| 1996 | mc graw hill | john hull john hull | "options, futures and other derivative securities" 2nd edition |
Created in 08/03/2021 Time 15:05:26
