MTH 9862 Probability and Stochastic Processes for Finance II


Instructor: Elena Kosygina


Brownian Motion

Stochastic Calculus

Risk-Neutral Pricing

Connections with Partial Differential Equations

  • Stochastic Differential Equations
  • Partial Differential Equations
  • Feynman-Kac formula

Exotic Options

  • Maximum of Brownian Motion with Drift
  • Knock-out Barrier Options
  • Lookback Options
  • Asian Options

American Derivative Securities

  • Perpetual Americal Put
  • Finite-Expiration American Put

Numeraires. Forward Measures.

Lecture Notes for each class were provided by the instructor.

Reference Books: