Stochastic of Finance (MTL733)
Credit
3.00 (L-T-P: 3-0-0)
Department / Center / School / Unit
Course Contents
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.