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

Online resources

> https://icampus.uclouvain.be/claroline/document/document.php?cidReset=true&cidReq=INMA2725

Aims

The contribution of this Teaching Unit to the development and command of the skills and learning outcomes of the programme(s) can be accessed at the end of this sheet, in the section entitled “Programmes/courses offering this Teaching Unit”.

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)

Faculty or entity
in charge

> MAP

Programmes / formations proposant cette unité d'enseignement (UE)
	Sigle	Crédits	Prérequis	Acquis d'apprentissage
Master [120] in Actuarial Science	ACTU2M	5	-
Master [120] in Statistics: General	STAT2M	5	-
Master [120] in Mathematical Engineering	MAP2M	5	-
Master [120] in Mathematics	MATH2M	5	-

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