Fall

IEORE4707 Financial Engineering: Continuous Time Models


Instructor: Xunyu Zhou


This course covers modern continuous-time models for portfolio selection and asset pricing. It includes the following topics: a review of stochastic calculus including martingale theory, Ito’s calculus and stochastic differential equations; an introduction of stochastic control theory mainly involving dynamic programming HJB equations; the Black-Scholes market model; arbitrage and market completeness; Markowitz’s mean—variance portfolio selection model; Merton’s utility maximization model; market equilibrium and capital asset pricing; option pricing and Black—Scholes formula; foreign exchange models and pricing quanto options.




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