The aim of the course is the study and the calculation of the price and coverage of European options
when the market model is chosen in the class of continuous models (in space and time). Then topics of
stochastic calculus will be treated (Markov processes, Girsanov's theorem, diffusions and
Feynman-Kac representation formulas) and diffusion models for financial markets will be introduced for
the study of arbitrage and market completeness. Particular emphasis will be given to the Black and
Scholes model.
- Kursleiter/in: Anna Paola Todino
Semester: WT 2024/25