Class Id: 8506
Days: MW
Start Time: 04:15 PM
End Time: 05:45 PM
Building: FISHH
Room: B06
Course Id: 3753
Departments and Numbers: ECO 526, 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:
Professors: Wei Xiong, Yuliy V. Sannikov
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Created by Bob Dondero.