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: Assoc.Prof.Dr. AZZE HAYFAV
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.