MA 366: Stochastic Finance II

Credits: 3:0

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.


Suggested books and references:

  1. Amman, M., Credit Risk Valuation, Second Edition, Springer, 2001.
  2. Brigo, D and Mercurio, F., Interest Rate Models Theory and Practice, Second Edition, Springer, 2007 .
  3. Shiryaev, A.N., Essentials of Stochastic Finance, World Scientific, 1999.
  4. Shreve, S.E., Stochastic Calculus for Finance II : The continous Time Models, Springer, 2004.

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Contact: +91 (80) 2293 2711, +91 (80) 2293 2265 ;     E-mail: chair.math[at]iisc[dot]ac[dot]in
Last updated: 12 Apr 2024