Stochastic Methods in Finance · Statistics
Stochastic models of European/American call/put options, interest rate models and optimization.
I learned a lot of things from this course including binomial trees, stochastic calculus, and derivatives pricing.
Brownian Motion, Stochastic Calculus, Risk-Netural Pricing, Exotic Options, LIBOR Model......
Very hard topics...could be lost all the time. Not recommend for those non-math majors. The homeworks are very hard, cannot complete unless you go to office hours. The midterm was easy though, not sure what the final will look like. The professor was OK, for some reason he was late or canceled for several lectures approaching the end.
This course serves as an excellent icebreaker for learning stochastic methods in finance. It provides a strong foundational understanding of key concepts such as martingales, option pricing, and utility maximization, making it an ideal starting point for deeper exploration into stochastic finance.
Review of Stochastic Calculus, Risk-Neutral Pricing, Interest Rate Models, American options
Shreve Stochastic Calculus for Finance I and II
Knowledge about arbitrages, martingales, local martingales, stochastic integrals, and black-scholes model.
recommend for students already have good foundation in stochastic analysis.
All the key knowledge are about ITO and how to price a derivative.