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: |
|
| 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.
