Stochastic Analysis for Finance

3 credits · Graduate credit

The aim of this course is to teach the probabilistic techniques and concepts from the theory of stochastic processes required to understand the widely used financial models. In particular concepts such as martingales, stochastic integration/calculus, which are essential in computing the prices of derivative contracts, will be discussed. Pricing in complete/incomplete markets (in discrete/ continuous time) will be the focus of this course as well as some exposition of the mathematical tools that will be used such as Brownian motion, Levy processes and Markov processes.