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...Option pricing and stochastic calculus fre fall new york university tandon school of engineering department finance risk monty essid cims nyu edu tuesdays pm rogers hall room prerequisites quantitative methods in gy or equivalent course description this provides the mathematical foundations models techniques covered include arithmetic geometric brownian motion rst passage time reection principle ito integral dierential change probability measure martingales equations partial some considered are european barrier asian american options these problems either solved analytically by martingale approach numerically applying approximation simulation since same allow treatment more complex nancial products examples credit derivatives will be also presented objectives after taking students able to price any common derivative security introductory computational track is a building block for advanced courses such as specialized topics material taught part knowledge shared quants financial industr...