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About CTF Lecture Notes
This document provides lecture notes on continuous-time finance. It begins with a wrap-up of discrete-time models and concepts like no-arbitrage and equivalent martingale measures. It then introduces stochastic processes, stopping times, martingales, and Brownian motion. It covers pathwise Itô calculus including Itô's formula. It presents the Black-Scholes model using a PDE approach and discusses option pricing formulas. Further tools from stochastic calculus are introduced like stochastic integration and the Girsanov theorem. Financial applications in continuous time including the Black-Scholes model and term structure modeling are discussed. Optimization problems and interest rate models are also briefly covered.
Detailed Information
Author: | ['Martin Martin Martin'] |
---|---|
Publication Year: | 2016 |
Pages: | 105 |
Language: | English |
Format: | |
Price: | FREE |
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