Stochastic Calculus for Finance II

Course Number: 46945

This course uses stochastic calculus to develop models for equity and fixed income derivatives. Change of measure is critical in such models, and the course begins with a detailed discussion of that, including the role and limitations of risk-neutral pricing. The use of forward measures in fixed income models and the change of measure associated with change of currency will be developed. There is also a discussion of the effect of funding and collateral on the Black-Scholes pricing formula. Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student, or a graduate student enrolled in an MSCF participating college/department (Stats & Data Science, Heinz, Tepper, Computer Science Dept.,or Math Sciences). PhD students with relevant research may be eligible with permission from the instructor.

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