Stochastic Calculus for Finance I
Professor: Gautam Iyer
Course Number: 46944
Description: This course introduces martingales, Brownian motion, Ito integrals and Ito’s formula, in both the uni-variate and multi-variate case. This is done within the context of the Black-Scholes option pricing model and includes a detailed examination of this model. Prerequisite: Multi-Period Asset Pricing 46-941 and knowledge of calculus-based probability theory.
Text: S. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models, Springer-Verlag, New York, 2004.