Stern School of Business
New York University
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Course: B90.2308.30/APPLIED STOCHASTIC PROCESSES FOR FINANCIAL MODELS
Semester: Spring 2007
Class Hours: Wed 6-9 pm 
Class Room: TBA 
Instructor: Professor
Peter Lakner
Office Hours: TBA
Office: KMEC 8-61  Tel: 998-0476 
Email: plakner@stern.nyu.edu




Prerequisite:  B01.1305 or equivalent (the core Statistics and Data Analysis Class)

TEXTBOOK
:

"Introduction to Mathematical Finance: Discrete Time Models", by Stanley R. Pliska.

The following subjects will be introduced:

     Arbitrage and risk neutral probability measures

     Valuation of contingent claims
     Conditional expectation and martingales
     Binomial models
     American options
     Forward and future prices
     Bonds and interest rate derivatives
     Optimal investment/consumption problems

The course grade will be based on the midterm and final examinations, and the homework assignments.