AMS 513, Financial Derivatives and Stochastic Calculus
Further development of derivative pricing theory including the use of equivalent martingale measures, the Girsanov Theorem, the Radon-Nikodym Derivative, and a deeper, more general understanding of the Arbitrage Theorem. Numerical approaches to solving stochastic PDEÕs will be further developed. Applications involving interest rate sensitive securities and more complex options will be introduced. Whenever practical, examples will use real market data. Numerical exercises and projects in a high-level programming environment will also be assigned.
Prerequisite: AMS 511
3 credits, ABCF grading

Text:Stochastic Calculus for Finance, Vol I and II, by Spring in 2008-09. Fall semester in future years.

Spring 2009 Section
John Pinezich, Th 6:50-9:40BA, Physics P112, AMS 513 Webpage