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 + 22.5 h
Q1
Teacher(s)
Devolder Pierre;
Language
French
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
Online resources
Bibliography
Capinski / Zastawniak : Mathematics for Finance (Springer, 2003)
Wiersena : Brownian Motion Calculus (Wiley, 2008)
Wiersena : Brownian Motion Calculus (Wiley, 2008)
Faculty or entity
MAP
