Stochastic Methods of Mathematical Finance 2

GSM MF 795

This course develops the basic tools from stochastic calculus needed for the study of continuous time finance. It also covers the basic principles and ideas of continuous time finance. Topics include: Brownian motion, continuous time martingales and semimartingales, stochastic integration, Girsanov's theorem, stochastic differential equations, contingent claims and hedging, the fundamental theorems of asset pricing.