# 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