Note from June 29, 2020
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
Although we do not yet know how long the social distancing related to the Covid-19 pandemic will last, and regardless of the changes that had to be made in the evaluation of the June 2020 session in relation to what is provided for in this learning unit description, new learnig unit evaluation methods may still be adopted by the teachers; details of these methods have been - or will be - communicated to the students by the teachers, as soon as possible.
5 credits
30.0 h
Q2
This learning unit is not being organized during year 2019-2020.
Language
English
Main themes
We will start to investigate the basic concepts in a simple binomial model in discrete time before generalizing them to general dynamic markets in discrete time. Before extending the concepts to continuous time, we will introduce the main mathematical tools of stochastic calculus. We will analyze applications to pricing of options on stocks and on interest rates via change of numeraire techniques.
Aims
At the end of this learning unit, the student is able to : | |
| 1 | The student will be able to master financial concepts related to modern asset pricing theory by arbitrage. This will allow him to get the knowledge necessary to evaluate most prices of financial derivatives on stock and in-terest rates. |
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
We will present the main theoretical concepts and apply them in exercises to help for a better understanding.
Other information
The students should have basic knowledge in probability and statistics, mathematics, and finance. The evaluation will be an oral exam. The support is made of slides and exercises with their correc-tions.
Faculty or entity
ECON
