Steven LALLEY

• Discrete Pricing Models
  • Discrete Multiperiod Models
  • Binomial Trees
  • Risk Neutral Measures
  • Discrete Martingales
• Continuous Stochastic Calculus
  • Wiener Process (Brownian Motion)
  • Ito Integral and Ito Formula
  • Girsanov Formula
  • Continuous--Time Martingales
  • Martingale Representation Theorem
  • Ito Processes and PDEs
• Black--Scholes Theory
  • Arbitrage Pricing
  • Black--Scholes Formulae
  • Risk Neutral Measures
  • Numeraire Invariance
  • Market Completeness
• Extensions of the Black-Sholes theory
  • Barrier Options
  • Currency Options