| Class Id | 8506 |
| Days | MW |
| Start time | 04:15 PM |
| End time | 05:45 PM |
| Building | FISHH |
| Room | B06 |
| Course Id | 3753 |
| Dept and Number | ECO 526 |
| Dept and Number | FIN 596 |
| Area | |
| Title | Financial Economics II |
| Description | Review of probability and stochastic processes, stochastic integrals, reduction to martingale gains from trade, change of variable (Ito's lemma, local time, generalized Ito's formula, Girsanov's theorem), stochastic differential equations, the Black-Scholes model, the term-structure of interest rates, equilibrium assest pricing, an introduction to the optimal control of diffusions and some applications. |
| Prerequisites | |
| Professor | Wei Xiong |
| Professor | Yuliy V. Sannikov |