Winter 2021, PSTAT 223B
M-W 9:30-10:45, Online via Zoom, see you on GauchoSpace
fouque at pstat.ucsb.edu
Office Hours: by appointment
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.
PSTAT 213 A-B-C Introduction to Probability Theory and Stochastic Processes (or equivalent)
PSTAT 223A Stochastic Calculus and Applications (or equivalent)
Arbitrage Theory in Continuous Time by Tomas Bjork, 3rd ed, Oxford 2009