UCL - Financial mathematics

[INMA2725]

[30h + 22.5h] 5 credits

This course is taught in the 1st 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 modern quantitative finance and in pricing of financial assets in continuous time. At the end of the course, the students must be able to understand the principles of stochastic calculus and apply these techniques to finance.

Main themes

After a presentation of the main tools of stochastic calculus and the basic principles of finance, valuation of financial assets in continuous time is developed. Numerical methods are also considered and illustrated.

Content and teaching methods

Content :
1. Elements of stochastic calculus and theory of stochastic processes in continuous time
2. Basic principles of finance
3. General principle of valuation of financial assets
4. Applications to various financial products ( bonds, options,)
5. Numerical methods in finance

Methods :
Lectures ; Exercices/TP ; Exercices to prepare the lecture ; Students presentation ;

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

Evaluation : Class participation and written examination, in french

Skills : Problem solving

Techniques and tools for teaching and learning : IT tools ; Modelling : Quantitative methods ; Mathematics