• TR
  • EN
Program Type: 
Thesis
Non Thesis
Course Code: 
FE 501
Semester: 
Spring
P: 
3
Lab: 
0
Credits: 
3
ECTS: 
10
Course Language: 
English
Course Content: 

From Random Motion to Brownian Motion, quadratic variations and volatility, stochastic integrals, martingale property, Ito formula, Geometric Brownian Motion, solution of Black-Scholes equation, stochastic differential equations, Feynman-Kac Theorem, Cox-Ingersoll-Ross and Vasicek Models, Girsanov Theorem and risk-free measurements, Heath-Jarrow-Morton Model, currency exchange instruments.

Vertical Tabs