Syllabus/achievement requirements

We will use (parts of) the book:

I.Karatzas and S.Shreve: Methods of Mathematical Finance, 1998, 2nd Edition. Springer. ISBN: 0-387-94839-2. that can be considered as a textbook for the course.

The following book can also be consulted at the library for some aspects of related concepts:

I.Karatzas: Lectures on the Mathematics of Finance, 1997. Amer.Math.Soc..

As for some background material in stochastic calculus the following two books can be referred to:

B. Øksendal: Stochastic Differential Equations, 2007, 6th Edition. Springer. ISBN: 978-3-540-04758-2.

I.Karatzas and S.Shreve: Brownian Motion and Stochastic Calculus, 1998, 2nd Edition. Springer. ISBN: 0-387-97655-8.

Though any book in stochastic calculus can be equally be valid.

Published Apr. 5, 2011 10:06 AM - Last modified Aug. 16, 2011 4:53 PM