Financial mathematics
[ LINMA2725 ]
5.0 crédits ECTS
30.0 h + 22.5 h
1q
Teacher(s) |
Devolder Pierre ;
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Language |
French
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Place of the course |
Louvain-la-Neuve
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Aims |
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Understand the basic principles of quantitative finance
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Master the techniques of stochastic calculus
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Apply stochastic calculus to asset pricing and determination of investment strategies
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Evaluation methods |
1/5th : project at the end of the semester
4/5ths : written exam - no notes, with form
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Content |
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Intro : risk-free asset
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Part 1 : portfolio theory
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Part 2 : dynamic risk asset
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Part 3 : stochastic calculus
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Part 4 : continuous-time asset pricing
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Part 5 : optimal investment strategy
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Bibliography |
Capinski / Zastawniak : Mathematics for Finance (Springer, 2003)
Wiersena : Brownian Motion Calculus (Wiley, 2008)
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Other information |
Slides via iCampus
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Cycle et année d'étude |
> Master [120] in Mathematics
> Master [120] in Mathematical Engineering
> Master [120] in Statistics: General
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Faculty or entity in charge |
> MAP
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