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 derivatives.  

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Last updated: 22 Jun 2024