<- Archives UCL - Programme d'études ->



Financial mathematics [ LINMA2725 ]


5.0 crédits ECTS  30.0 h + 22.5 h   1q 

Teacher(s) Devolder Pierre ;
Language French
Place
of the course
Louvain-la-Neuve
Aims
  • Understand the basic principles of quantitative finance
  • Master the techniques of stochastic calculus
  • Apply stochastic calculus to asset pricing and determination of investment strategies
Evaluation methods

1/5th : project at the end of the semester

4/5ths : written exam - no notes, with form

Content
  • Intro : risk-free asset
  • Part 1 : portfolio theory
  • Part 2 : dynamic risk asset
  • Part 3 : stochastic calculus
  • Part 4 : continuous-time asset pricing
  • Part 5 : optimal investment strategy
Bibliography

Capinski / Zastawniak : Mathematics for Finance (Springer, 2003)

Wiersena : Brownian Motion Calculus (Wiley, 2008)

Other information

Slides via iCampus

Cycle et année
d'étude
> Master [120] in Mathematical Engineering
> Master [120] in Actuarial Science
> Master [120] in Statistics: General
> Master [120] in Mathematics
Faculty or entity
in charge
> MAP


<<< Page précédente