Financial Modeling

Winter 2021, PSTAT 223B

M-W 9:30-10:45, Online via Zoom, see you on GauchoSpace

Jean-Pierre Fouque

fouque at pstat.ucsb.edu

Office Hours: by appointment

Course Outline

An introduction to stochastic models in finance with applications to valuation and hedging of derivatives in equity, fixed income, and credit markets, and to portfolio allocation.

Prerequisites:

  • PSTAT 213 A-B-C Introduction to Probability Theory and Stochastic Processes (or equivalent)

  • PSTAT 223A Stochastic Calculus and Applications (or equivalent)

    TEXT:
    Arbitrage Theory in Continuous Time by Tomas Bjork, 3rd ed, Oxford 2009