ADVANCED DERIVATIVE SECURITIES
Introduces continuous-time financial models essential for the advanced analysis of derivative securities. Discuss the fundamental mathematical concepts and tools from continuous-time stochastic processes including Brownian motion, Poisson processes, stochastic calculus, and change of measure. This provides a framework for analyzing derivative securities including their pricing, hedging, and risk management. In particular, covers the Black-Scholes and stochastic volatility models for equity options; basic term-structure modeling for interest rate derivatives; and reduced-form credit-risk models. Emphasis is put on applications and economic interpretation rather than mathematical rigor.
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