Continuous-time Stochastic Processes. Filtrations. Stopping times. Basic properties of continuous-time Martingales. Markov processes. Definition and basic properties of Brownian motion. Ito stochastic integral. Ito processes and diffusion processes. The quadratic variation of Brownian motion and Ito s formula. Girsanov s Theorem. Stochastic differential equations. Feynman-Kac Theorem. Examples and applications. Continuous-time market models. The Black-Scholes model. Valuation of options. European options. Special topics.
- Teacher: Βασίλης Παπανικολάου
ECTS : 5
Language : el