Financial Calculus
FE 520 Financial Calculus (Finans Matematigi) (3+0+0) 3 ECTS 8 From random walk to Brownian motion, quadratic variation and volatility, stochastic integrals, martingale property, Ito formula, geometric Brownian motion, solution of Black-Scholes equation, stochastic differential equations, Feynman-Kac theorem, Cox-Ingersoll-Ross and Vasicek term structure models, Girsanov's theorem and risk neutral measures, Heath-Jarrow-Morton term structure model, exchange-rate instruments. Prerequisite: FE 507.
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