Continuous Time Models in Financial Mathematics

Catalog description

Review of discrete time models and binomial trees. Cox, Ross, Rubinstein approach to the Black-Scholes model; Black-Scholes equation and option pricing formulae; Brownian motion and stochastic differential equations; Ito's calculus and Ito's lemma; stopping times; the heat equation; option pricing and the heat equation; numerical solution of parabolic partial differential equations; interest rate models; simulation and financial models.