| Freddy Delbaen, ETH Zurich |
| Mrinal K. Ghosh, Indian Institute of Science |
| Rajeeva Karandikar, Chennai Mathematical Institute |
| Ronnie Sircar, Princeton University |
COURSE DETAILS
1. Introduction to option pricing in discrete time
2. Option pricing in continuous time
3. Black-Scholes-Merton theory
1. Review of Basic probability, joint distributions, conditional probability, conditional distribution.
2. Martingales
3. Brownian motion
4. Ito calculus: need and definition, Ito formula
5. SDE, Markov property of solution
6. Girsanov formula
7. Martingale representation theorem