Course contents

• Continuous-time stochastic processes and stochastic calculus.
• "No arbitrage" pricing and hedging of options. Martingale measures and the fundamental theorems of asset pricing.
• Interest rate modelling:
  • The HJM-framework.
  • 1-factor (affine) short rate models; their estimation and calibration.
  • Change of numeraire and derivative pricing.
  • Multi-factor models (along these lines)
• Energy and commodity markets.