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
|
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