Mathematical Finance, Asset Pricing And Derivatives – Bologna

Argomenti del programma: Stochastic calculus principles: stochastic process, discrete and continuous martingale, diffusion and Ito's process, Markov 's process, exponential martingale and probability changing, Girsanov's theorem, stochastic integration and Ito's lemma, SDE and PDE, Kolmogorov's PDE, Feynman-Kac's theorem; Plain vanilla contingent claims's pricing and hedging: forward and future, european and american options, pricing and…