Stochastic Finance (Intermediate)
Dublin City University
Area of Study
Taught In English
Course Level Recommendations
ISA offers course level recommendations in an effort to facilitate the determination of course levels by credential evaluators.We advice each institution to have their own credentials evaluator make the final decision regrading course levels.
Recommended U.S. Semester Credits3
Recommended U.S. Quarter Units5
Hours & Credits
This undergraduate course covers asset pricing, with emphasis on continuous-time models. Arbitrage, trading strategies, market completeness. Portfolio choice in complete and incomplete markets. Myopic and hedging demand. Derivatives pricing: risk-neutral pricing and risk premia.
1. Use basic models to price assets
2. Apply common hedging techniques
3. Derive heuristic solutions to portfolio choice problems
4. Understand the payoffs of different trading strategies
5. Use risk-neutral methods to price derivative contracts
6. Relate discrete-time models with their continuous-time counterparts