Carnegie Mellon University

Stochastic Calculus for Finance II

Course Number: 46945

Concentration: Mathematics
Semester(s): Spring, Mini 4
Required/Elective: Required
Prerequisite(s): 46944

This course uses stochastic calculus to develop models for equity and fixed income derivatives. The role and limitations of risk-neutral pricing will be discussed. Both risk-neutral and forward measures will be used, and change of measure associated with change of currency will be explained.