Essentials of Stochastic Finance

Catalog description

Primarily emphasizes the practical application of financial derivatives and financial engineering techniques in the context of financial risk management. The first part of the course concentrates on the fundamental concepts of financial derivatives including forwards, futures and options, with a strong focus on pricing strategies. The second part explores the utilization of these derivative instruments within financial institutions to effectively manage various forms of risk. Encompass a comprehensive exploration of topics such as derivatives markets, pricing methods for futures and forwards, the Binomial model for option pricing, introduction to stochastic calculus, Brownian motion, Ito's lemma, the Black-Scholes model, option Greeks, as well as the intricacies of managing market, credit and liquidity risk. May consider case studies to illustrate practical application of financial derivatives to solve complex risk management problems.