Financial processes, 2014/15 spring semester
Requirements for the second test
change of probabilty measures for stochastic processes, lemma between E and E tilda
Girsanov theorem
Which processes are martingale under the risk neutral measure? ( D(t)X(t), D(t)S(t) )
Martingale representation theorem
Chooser option
American call and put option
basic idea of Longstaff-Schwarz method
definition of the CDS contract, basic idea of the Gaussian copula
definition of the forward rates, what is the no-arbitrage condition for bond prices (D(t)B(t,T))
Theorems and methods from homeworks