STOCHASTIC FINANCE 1 [ LACTU2070 ]
5.0 crédits ECTS
30.0 h
2q
| Teacher(s) |
Devolder Pierre ;
|
| Language |
French
|
Place
of the course |
Louvain-la-Neuve
|
| 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.
|
| 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.
|
| Content |
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 |
Evaluation : Class participation and oral examination, in French
Support : Slides provided through icampus
|
Cycle et année
d'étude |
> Master [120] in Mathematical Engineering
> Master 120 of arts in Business engineering
> Master [120] in Business Engineering
> Master [120] in Actuarial Science
> Master [120] in Statistics: General
> Master [120] in Mathematics
|
Faculty or entity
in charge |
> LSBA
|
<<< Page précédente
