MTL733: Stochastic of Finance

3 Credits (3-0-0)

Pre-requisites: MTL106/MTL601

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.