Financial processes

(Lajos Vágó, 2019)

Pricing European call and put options in the binomial model
Changing measures for random variables, examples
Ito's formula
Modeling stock price with geometric Brownian motion
Black-Scholes-Merton theorem
Price of a forward contract, put-call parity
Martingale processes under the risk-neutral measure, risk-neutral pricing formula
Connection between the risk-neutral measure and arbitrage opportunities
T-forward measure
Zero coupon bonds, forward prices under the forward measure
Instantaneous forward rate, its evolution under the HJM model
Forward LIBOR

Literature: Steven Shreve: Stochastic Calculus for Finance II: Continuous-Time Models