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Stochastic calculus | Analytics of Finance
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Project Content
Notes
Project Content
5 Sections 32 Items
Information
2 Items
Syllabus
Readings
Lecture Notes
13 Items
Arbitrage-free pricing models
Stochastic calculus and option pricing
Simulation methods
Simulation methods
Dynamic portfolio choice I: Static approach to dynamic portfolio choice
Dynamic portfolio choice II: Dynamic programming
Dynamic portfolio choice III: Numerical approximations in dynamic programming
Parameter estimation
Standard errors and tests
Small-sample inference and bootstrap
Volatility models
Review: Arbitrage-free pricing and stochastic calculus
Review: DP and econometrics
Recitations
8 Items
Fundamental theorem of asset pricing
Black-Scholes formula
Stochastic calculus
Stochastic calculus (cont.)
Applications of risk-neutral pricing
Introduction to econometrics
Ordinary least squares: Estimation and standard errors
Nonlinear least squares: Applications to MIDAS and probit models
Assignments
6 Items
Problem set 1
Problem set 2
Problem set 3
Problem set 4
Problem set 5
Problem set 6
Exams
3 Items
Exam practice problems
Exam practice solutions
Spring 2010 final exam
Created by
Open Courseware
USA
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Information
2 Items
Syllabus
Readings
Lecture Notes
13 Items
Arbitrage-free pricing models
Stochastic calculus and option pricing
Simulation methods
Simulation methods
Dynamic portfolio choice I: Static approach to dynamic portfolio choice
Dynamic portfolio choice II: Dynamic programming
Dynamic portfolio choice III: Numerical approximations in dynamic programming
Parameter estimation
Standard errors and tests
Small-sample inference and bootstrap
Volatility models
Review: Arbitrage-free pricing and stochastic calculus
Review: DP and econometrics
Recitations
8 Items
Fundamental theorem of asset pricing
Black-Scholes formula
Stochastic calculus
Stochastic calculus (cont.)
Applications of risk-neutral pricing
Introduction to econometrics
Ordinary least squares: Estimation and standard errors
Nonlinear least squares: Applications to MIDAS and probit models
Assignments
6 Items
Problem set 1
Problem set 2
Problem set 3
Problem set 4
Problem set 5
Problem set 6
Exams
3 Items
Exam practice problems
Exam practice solutions
Spring 2010 final exam
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