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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 Mathematics > Master [120] in Business engineering > Master [120] in Business Engineering > Master [120] in Actuarial Science > Master [120] in Mathematical Engineering > Certificat d'université : Finance quantitative et ALM > Master [120] in Statistics: General
Faculty or entity in charge	> LSBA