Stochastic Models in Insurance and Finance

Aims of the course

no description

Course syllabus

1. Offers an overview of the basic mathematical tools (that are used in calculating option prices).
1.1. Ito"s lemma and integral
1.2. Girsanov theorem
1.3. Radon Nykodim theorem
2. Most used models are presented
2.1. Black&Scholes model
2.2. Vasicek,
2.3. HJM
3. A general introduction to a more general class of Levy processes is made.

Course director(s)