Option Pricing
- Nils Bertschinger
- Oliver Pfante
Abstract
In this course we introduce the core concepts of stochastic calculus of finance: Brownian motion, Itô integral, Itô formula, etc. We apply them to derive the pricing formula and the replicating portfolio of vanilla options within the Black-Scholes model. Furthermore, risk-neutral probability, its relation to the fundamental theorems of asset pricing, and connections with partial differential equations are presented. All these theoretical concepts are guided by and applied to the analysis of financial market data.
Date and time info
Friday 11.00 - 12.30
Keywords
stochastic calculus of finance, financial data analysis
Prerequisites
Basic Probability and PDE Theory might be helpful
Audience
MSc students, PhD students, Postdocs
Language
English