STOCHASTIC FINANCE  I

  Financial market. Financial instruments: bonds, stocks, derivatives.  Binomial no-arbitrage pricing model: single period and multi-period models.  Martingale methods for pricing.  American options: the Snell envelope.  Interest rate  dependent assets: binomial models for interest rates, fixed income derivatives, forward measure and future.  Investment portfolio: Markovitz�s diversification.  Capital asset pricing model (CAPM).  Utility theory.  

Books


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Last updated: 20 May 2024