UCL - STOCHASTIC FINANCE 1

[ACTU2070]

[30h] 5 credits

This course is taught in the 2d semester.

Teacher(s): Pierre Devolder

Language: French

Level: Second

Aims
Main themes
Content and teaching methods
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Aims

The aim of this course is to provide students with basic skills in stochastic calculus and application to finance. At the end of the course, the students must be able to price simple derivative products on stocks and bonds and to use the concept of risk neutral pricing.

Main themes

After a presentation of discrete financial models introducing basic financial concepts, the stochastic calculus in a Brownian environment is developed. Applications in option theory and term structure of interest rates are presented.

Content and teaching methods

Content
The following topics will be developed:
1 Financial products
2. Discrete models
3. Stochastic calculus
4. Continuous time finance
Methods
In-class activities
X0 Lectures
X0 Exercices/PT

At home activities
X0 Exercices to prepare the lecture
X0 Paper work

Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)

Evaluation : Class participation and oral examination, in French

Support : Slides provided through icampus