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Stochastic Calculus, Derivation of The Black and Scholes Model Using Ito's Lemma, Valuation of Options Using Girsanov Theory, Interest Rates Derivatives, Hjm Model, Numerical Approximations, Optimal Portfolio Selection in Dynamic Markets.

Faculty: Data and Decision Sciences
|Undergraduate Studies |Graduate Studies

Pre-required courses

(94313 - Deterministic Models in Oper.research and 94333 - Dynamic Models in Operations Research and 95334 - Simulation - Modeling and Analysis) or (94314 - Stochastic Models in Oper.research and 94323 - Dynamic Models in Operations Research and 94334 - Simulation-modeling and Analysis) or (94314 - Stochastic Models in Oper.research and 94333 - Dynamic Models in Operations Research and 94334 - Simulation-modeling and Analysis) or (94314 - Stochastic Models in Oper.research and 94323 - Dynamic Models in Operations Research and 95334 - Simulation - Modeling and Analysis)

• An introduction to mathematical finance : options and other topics - Ross, Sheldon M.
• An introduction to the mathematics of financial derivatives
• An introduction to the mathematics of financial derivatives - Neftci, Salih N.
• An introduction to the mathematics of financial derivatives [electronic resource] - Neftci, Salih N.
• Arbitrage theory in continuous time - Björk, Tomas
• Mathematical models of financial derivatives - Kwok, Yue-Kuen
• Monte Carlo methods in financial engineering - Glasserman, Paul
• Options, futures and other derivatives - Hull, John
• Options, futures, and other derivatives - Hull, John
• Options, futures, and other derivatives - Hull, John