Financial Modeling

Winter 2024, PSTAT 223B

M-W 9:30-10:45, HSSB 1211

See you on Canvas

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