Coursebooks 2017-2018

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Mathematics for Financial Economics

FIN-606

Lecturer(s) :

Malamud Semyon

Language:

English

Frequency

Every year

Summary

The course is focused on continuous time models and their use in financial economics. Our objective is to study the tools employed in solving dynamic optimization and valuation problems. We will illustrate each technique with a financial application.

Content

1. Basic Probability Theory
2. Stochastic Processes in Discrete Time
3. Brownian Motion and Stochastic Calculus
4. Dynamic Optimization and Optimal Stopping

Learning Prerequisites

Important concepts to start the course

Familiarity with basic concepts of analysis and probability.

Assessment methods

Written exam.

Resources

Websites

In the programs

    • Semester
    • Exam form
       Written
    • Credits
      3
    • Subject examined
      Mathematics for Financial Economics
    • Lecture
      28 Hour(s)

Reference week

 
      Lecture
      Exercise, TP
      Project, other

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  • Autumn semester
  • Winter sessions
  • Spring semester
  • Summer sessions
  • Lecture in French
  • Lecture in English
  • Lecture in German