Stochastic Finance (Intermediate)

Dublin City University

Course Description

  • Course Name

    Stochastic Finance (Intermediate)

  • Host University

    Dublin City University

  • Location

    Dublin, Ireland

  • Area of Study

    Finance

  • Language Level

    Taught In English

  • Course Level Recommendations

    Upper

    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.

    Hours & Credits

  • ECTS Credits

    7.5
  • Recommended U.S. Semester Credits
    3
  • Recommended U.S. Quarter Units
    5
  • Overview

    Description
    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. 

    Learning Outcomes
    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