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Contingent Claims Valuation
(lecture, tutorials, practical lab)
to give the students a deepened knowledge of the Theory of Contingent Claims (European and American types) in discrete and continuous time.
Program (3 hours sessions):
1. Reminder of the theory of contingent claims in a mono-period; reminder of discrete time processes.
2. Valuation of contingent claims in the binomial model.
3. Valuation of contingent claims in a general discrete time model (complete and incomplete cases).
6. Reminder of continuous time processes (Itô’s lemma, Girsanov’s theorem).
7. Valuation of contingent claims in continuous time in a Brownian filtration.
Prerequisites: Risk Management in a mono-period financial market and derivatives (M1), Discrete and continuous time stochastic processes (M1).
Evaluation: Final exam of 2 hours
- H. Föllmer and A. Schied: Stochastic Finance, Walter de Gruyter 2002
- I. Ekeland, N. Fintz and E.Taflin: Les marchés financiers et gestion de portefeuille, Preprint 2007
- T. Björk: Arbitrage Theory in Continuous Time, 2nd ed. Oxford 2004
- M. Musiela, R. Rutkowski: Martingale Methods in Financial Modelling, 2nd ed. Springer 2007