Financial Theory IV - Continuous-Time Finance
Lecture Outlines with Readings and Problems
Mathematics and statistics background
Arbitrage and martingales
The standard continuous-time financial market
Contingent claims pricing
American options
Optimal consumption and portfolio choice
Portfolio constraints: Upper and lower hedging prices
Portfolio constraints: Optimal consumption and investment
Equilibrium in a pure exchange economy
Corporate liabilities
Term structure models
CIR equilibrium and term structure models