 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 princing.
Main themes
After a presentation of discrete financial models introducing basic financial concepts, the stochastics calculus in a Brownian environment is developed. Applications in option theory and term structure of interest rates are presented.
Content and teaching methods
Content
1 Financial products
2. Discrete models
3. Stochastic calculus
4. Continuous time finance
Other information (prerequisite, evaluation (assessment methods), course materials recommended readings, ...)
Support,
Copy of slides
Other credits in programs
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ACTU21MS
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Première année du master en sciences actuarielles, à finalité spécialisée
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(4.5 credits)
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Mandatory
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MAP22
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Deuxième année du programme conduisant au grade d'ingénieur civil en mathématiques appliquées
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(4.5 credits)
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MAP23
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Troisième année du programme conduisant au grade d'ingénieur civil en mathématiques appliquées
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(4.5 credits)
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