syllabus - CONTINUOUS TIME FINANCE G63.2792, Spring 2004...

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Unformatted text preview: CONTINUOUS TIME FINANCE G63.2792, Spring 2004 Wednedays 7:10-9pm WWH 1302 updated Feb. 17, 2004 Instructor: Robert V. Kohn. Office: 612 Warren Weaver Hall. Phone: 212-998-3217. Email: kohn@cims.nyu.edu. Web: www.math.nyu.edu/faculty/kohn. Office hours: Wednesday 4:30-5:30 and by appointment. Teaching Assistant: Oana Fainarea. Office: 608. Phone: 212-998-3138. Email: fainarea@cims.nyu.edu Office hours: Tuesday 4-5 and Tues 6-7. Special Dates: First lecture Jan. 21. No class Feb. 11 (Im out of town). No lecture March 17 (spring break). Last lecture April 28. Final exam: May 5. Prerequisites: Derivative Securities and Stochastic Calculus, or equivalent. Content: This is a second course in arbitrage-based pricing of derivative securities, continuing where the first course Derivative Securities left off. The first 1/3 of the semester will be devoted to the Black-Scholes model and its generalizations (equivalent martingale measures; the martingale representation theorem; the market price of risk; applications including change of numeraire and...
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syllabus - CONTINUOUS TIME FINANCE G63.2792, Spring 2004...

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