Spring term 2022, Institute for Mathematical Sciences, Shanghaitech University
Schedule: Tuesdays and Thursdays 8:15-9:55. (15.2.22-2.6.22) Room S506 in the IMS.
Modified schedule during the pandemic prevention period: Tuesdays and Thursdays 8:30-9:50 (online classes).
In financial industry it is important to use market models for derivative pricing, in paricular for non-liquid traded derivatives. We need to understand the assumptions made on market models to be close to reality. In this course we learn about stochastic finance. We analyze arbitrage, completeness, hedging and convergence to the Black-Scholes model.
For the understanding of obstructions it is a good choice to start with the discrete time approach.
The topics we study in this course are:
convergence to the Black-Scholes model
Brownian Motions and Ito-integration (basics)
super-, submartingales and hedging
optimal stopping times
arbitrage theory for liquid options
Monte Carlo integration
Stochastic finance (An introduction in discrete time), Hans Föllmer and Alexander Schied, Walter de Gruyter, Berlin, New York 2002, ISBN 3-11-017119-8
Prof. Daniel Skodllerack
Institute for Mathematical Sciences, Room S413
Mondays 19:00-20:00 and Sundays 19:00-20:00
Email address: dskodlerack at shanghaitech.edu.cn