MTL733
| MTL733 | |
|---|---|
| Stochastic of Finance | |
| Credits | 3 |
| Structure | 3-0-0 |
| Pre-requisites | MTL106/MTL601 |
| Overlaps | |
MTL733 : Stochastic of Finance
[edit]Stochastic Processes; Brownian and Geometric Brownian Motion; Levy Processes, Jump-Diffusion Processes; Conditional Expectations and Martingales; Ito Integrals, Ito's Formula; Stochastic Differential Equations; Change of Measure, Girsanov Theorem, Martingale Representation Theorem and Feymann-Kac Theorem; Applications of Stochastic Calculus in Finance, Option Pricing, Interest Rate Derivatives, Levy Processes in Credit Risk.