MTL733 Stochastic of Finance

Credits: 3 (3-0-0)

Prerequisites: MTL106/MTL601

Description

Stochastic Processes; Brownian and Geometric Brownian Motion; Levy Processes, Jump-Diffusion Processes; Conditional Expectations and Martingales; Ito Integrals, Ito’s Formula; Stochastic Differential Equations; Change of Measure, Girsanov Theorem, Martingale Representation Theorem and Feymann-Kac Theorem; Applications of Stochastic Calculus in Finance, Option Pricing, Interest Rate Derivatives, Levy Processes in Credit Risk.

Prerequisite Tree

flowchart TD
MTL733-1000[MTL733]
MTL733-1000 --- Or1001[Any one of]:::empty
Or1001 -.-> MTL106-1002[MTL106]
Or1001 -.-> MTL601-1003[MTL601]

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