Stochastic Calculus for Finance II
Professor: Steven Shreve
Course Number: 46945
Description: This course treats applications of risk-neutral pricing, especially the theory of interest-rate term structure models. The underlying methodology is change of measure. Both risk-neutral and forward measures are used. Models covered include Ho-Lee, Hull-White, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton. Other topics are forwards and futures, models for foreign exchange, and options that permit early exercise. Time permitting, variance swaps, early exercise and exotic options will also be discussed.
Texts: S. Shreve, Stochastic Calculus for Finance II: > Continuous-Time Models, Springer-Verlag, 2004.