MA 366: Stochastic Finance II
Trading in continuous time : geometric Brownian motion model. Option pricing :
Black-Scholes-Merton theory. Hedging in continuous time : the Greeks.
American options. Exotic options. Market imperfections. Term-structure
models. Vasicek, Hull-White and CIR models. HJM model. LIBOR model.
Introduction to credit Rsik Models: structural and intensity models. Credit
Suggested books and references:
Amman, M., Credit Risk Valuation, Second Edition
Brigo, D and Mercurio, F., Interest Rate Models Theory and Practice, Second Edition
,Springer, 2007 .
Shiryaev, A.N., Essentials of Stochastic Finance
,World Scientific, 1999.
Shreve, S.E., Stochastic Calculus for Finance II : The continous Time Models
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