# FE710 Applied Stochastic Differential Equations

Course Catalog Description

# Introduction

Campus | Fall | Spring | Summer |
---|---|---|---|

On Campus | X | X | |

Web Campus |

Instructors

Professor | Office | |
---|---|---|

Zhenyu Cui |
zcui6@stevens.edu | Babbio 514 |

More Information

# Course Description

Course Resources

# Textbook

We will provide notes additional to the textbook material. The main textbook used is:

• Stochastic Differential Equation, by Bernt Øksendal, 6th edition, 2010, ISBN-10: 3540047581, ISBN-13: 978-3540047582 In addition the following textbooks provide additional references:

# Additional References

• Stochastic Calculus for Finance vol I and II, by Steven E. Shreve,

Springer Finance, 2004, ISBN-13: 978-0387249681 (vol I) and 978-

1441923110 (vol II) (used in FE610).

• Eckhard Platen and Nicola Bruti-Liberati, Numerical Solutions of Stochas-

tic Differential Equations with Jumps in Finance, Springer 2010, ISBN:

978-3-642-12057-2

• Stochastic Calculus and Financial Applications, by J. Michael Steele,

Springer 2000, ISBN-10: 0387950168, ISBN-13: 978-0387950167

• Introduction to Stochastic Calculus With Applications by Fima C. Kle-

baner, , ISBN-10: 1848168322, ISBN-13: 978-1848168329

• Financial Calculus: An Introduction to Derivative Pricing by Martin

Baxter, Andrew Rennie, 1996, ISBN-10: 0521552893, ISBN-13: 978-

0521552899

• Introduction to the Mathemtics of Financial Derivatives, by Salih N

Neftci, 2nd ed, Associated Press, 2000, ISBN 0125153929.

• Handbook of Probability, by I. Florescu and C. Tudor, ISBN: 978-0-470-

64727-1, Oct. 2013. (for probability background)

• Probability and Stochastic Processes, by I. Florescu, ISBN: 978-0-470-

62455-5, Oct. 2014. (for both Probability and Stochastic processes

background)

Grading

# Grading Policies

We will have several assignments throughout the course. We may have a midterm and/or final in the course. The percentage for all components will be decided and announced throughout the class.

Lecture Outline

Topic | Reading | |
---|---|---|

Week 1 | Introduction to Financial Engineering | Ch. 1 and 2 |

Week 2 | Capital Markets Overview | Ch. 3 |

Week 3 | Corporate Finance & Valuation | Ch. 3 |

Week 4 | Equity Analysis | Ch. 4 |

Week 5 | Fixed Income Debt Securities | Ch. 4 |

Week 6 | Overview of Bonds Sectors & Instruments | Ch. 4 |

Week 7 | Valuation of Debt Securities | Ch. 4 |

Week 8 | Securitized Products | |

Week 9 | Leveraged Loans & CLO's | Ch. 5 |

Week 10 | General Principles of Credit Analysis | Ch. 5 |

Week 11 | Foreign Exchange | Ch. 6 |

Week 12 | Poisson Processes and Jump Diffusion | Ch. 11 |

Week 13 | Exotic Options | Ch. 7 |

Week 14 | Review & Catch-up |