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.