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.
Books
- Amman, M., Credit Risk Valuation, Second Edition, Springer, 2001.
- 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, Springer, 2004.