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Valuation of financial derivatives


Aims of the course

No description

Course syllabus

Description of financial instruments, discrete models, replication strategies, the pricing theorem, binomial model, europena options, americal options, exotic options, stochastic integration, Ito lemma, stochastic differential equation. Stochastic interest rate models: discrete models, interest rate derivatives. Empirical asset pricing models.

Course director(s)

  • Office Hours
  • Wednesday at 11:00 in RZ-206
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