ECO 526 - Financial Economics II

Institution:

Princeton University

Subject:

Description:

Review of probability and stochastic processes, stochastic integrals, reduction to martingale gains from trade, change of variable (Ito's lemma, local time, generalized Ito's formula, Girsanov's theorem), stochastic differential equations, the Black-Scholes model, the term-structure of interest rates, equilibrium assest pricing, an introduction to the optimal control of diffusions and some applications.

Credits:

0.00 - 4.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.princeton.edu

Phone Number:

(609) 258-3000

Regional Accreditation:

Middle States Association of Colleges and Schools

Calendar System:

Semester

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