Professor(s) |
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Objetives |
This course discusses continuous-time asset pricing theory and continuous-time derivative pricing models. Intuitively, we relate some asset returns to other asset returns (derivative assets), appealing to absence of arbitrage and risk-neutral pricing arguments. To do so, some knowledge of stochastic calculus is needed, so we introduce it. Finally, we look at some applications, specifically, interest rate and credit risk models. |
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Module / Term |
Module II: Elective Courses (54 ECTS) / Term 4 (18 ECTS) |
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Course details |
UIMP code 102687 / 6 ECTS / Elective |
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Hours |
Tuesday (17:00 - 18:30), and Wednesday (15:00 - 18:30) |
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Evaluation Criteria |
Exercises, presentations and exams |
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Course page |
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Syllabus |
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