Steven Shreve on Stochastic calculus for derivatives

London
14 & 15 October 2010

New York
18 & 19 October 2010

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Learning Outcomes:

• A sound knowledge of mathematical terminology
• An in-depth understanding of foreign exchange modeling
• A thorough knowledge of the role of volatility in stochastic calculus
• A rigorous analysis of Brownian motion
• An examination of Heath-Jarrow-Morton model
• An enhanced ability to read finance literature
• Familiarity with forward measures
• Comprehension of Girsanov’s theorem and risk-neutral measure
• Insights into stochastic integrals and Itô’s formula for multiple processes

Course tutor

Professor Steven E. Shreve

Course dates & venues