Financial Modeling

Winter 2022, PSTAT 223B

Tu-Th 9:30-10:45, HSSB 1224

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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