Academic Catalog

IAM615 ADVANCED STOCHASTIC CALCULUS FOR FINANCE

Course Code:	9700615
METU Credit (Theoretical-Laboratory hours/week):	3(0-0)
ECTS Credit:	8.0
Department:	Institute Of Applied Mathematics
Language of Instruction:	English
Level of Study:	Graduate
Course Coordinator:	Assist.Prof.Dr BÜÞRA ZEYNEP TEMOÇÝN
Offered Semester:	Fall Semesters.

Course Content

Financial modeling beyond Black-Scholes Model. Stochastic processes. Building Levy processes. Option pricing with stochastic processes: Stochastic calculus for semimartingales, change of measure, exponential Levy processes, stochastic volatility models, pricing with stochastic volatility models. Hedging in incomplete markets, risk-neutral modeling. Integro-partial differential equations. Further topics in numerical solutions, simulation and calibration of stochastic processes.