Stochastic integration:
Recapitulation of prerequisites from analysis,
measure theory and probability, Brownian
motion, continuous time martingales, stochastic
integral, Itô formula, stochastic differential
equations.
Pricing of financial derivatives:
Black-Merton-Scholes model, derivatives,
arbitrage and hedging in general, model
completeness, change of measure and Girsanov
theorem, parity equations.
Interest rate models:
Bonds and interest, some classical martingale
models, pricing of interest rate options.
The lecturer can also include other current
topics from recent scientific periodicals in the
course.
