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Course: B90.2308.30/APPLIED STOCHASTIC PROCESSES FOR
FINANCIAL MODELS
Semester: Spring 2007
Class Hours: Wed 6-9 pm
Class Room: TBA
Instructor: Professor Peter
Lakner
Office Hours: TBA
Office: KMEC 8-61 Tel: 998-0476
Email: plakner@stern.nyu.edu
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Prerequisite: B01.1305 or
equivalent (the core Statistics and Data Analysis Class)
TEXTBOOK:
"Introduction to Mathematical Finance: Discrete Time Models", by
Stanley R. Pliska.
The following subjects will be introduced:
Arbitrage and risk neutral probability measures
Valuation of
contingent claims
Conditional
expectation and martingales
Binomial models
American options
Forward and future
prices
Bonds and interest
rate derivatives
Optimal
investment/consumption problems
The
course grade will be based on the midterm and final examinations, and the
homework assignments.
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