Option Pricing

In this course we introduce the core concepts of stochastic calculus of finance: Brownian motion, Itô integral, Itô formula, etc. We apply them to derive the pricing formula and the replicating portfolio of vanilla options within the Black-Scholes model. Furthermore, risk-neutral probability, its relation to the fundamental theorems of asset pricing, and connections with partial differential equations are presented. All these theoretical concepts are guided by and applied to the analysis of financial market data.

Date and time info
Friday 11.00 - 12.30

Keywords
stochastic calculus of finance, financial data analysis

Prerequisites
Basic Probability and PDE Theory might be helpful

Audience
MSc students, PhD students, Postdocs

Language
English