Stochastic Calculus

Concentration: Finance
Academic Year: 2022-2023
Semester: Third
Required/Elective: Elective
Prerequisite(s): None
Course Hours / Week: 3 hours per week / 8 weeks

This course introduces the fundamentals of stochastic calculus and delves into applications to model financial instruments. The central topics revolve around stochastic differential equations, Ito’s lemma and the construction of processes that replicate the behavior of financial series, such as the short-term interest rate, the payment of a purchase option (Call) or a forward .




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