Operations Management Department STERN SCHOOL OF BUSINESS NEW YORK UNIVERSITY NYU Stern Syllabi Homepage

Course: C22.0008.01/ B90.2308.30 APPLIED STOCHASTIC PROCESSES FOR FINANCIAL MODELS Semester: Spring 2002 Class Hours: W 6:00-8:50 pm  Class Room: KMEC 3-60  Instructor: Professor Sridhar Seshadri Office Hours: TBA Office: Tisch 7-05  Tel: 998-0294  Email: sseshadr@stern.nyu.edu

 Prerequisite:  B09.2405 or equivalent

This course has significantly lower mathematical requirement than B90.3323.  Recommended is familiarity with basic concepts of calculus and matrix algebra (inverse, determinant, rank, etc.). All models discussed in this class are in discrete time with a finite probability space and motivated with examples.

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