Coursebooks

Stochastic calculus

FIN-415

Lecturer(s) :

Filipovic Damir
Malamud Semyon

Language:

English

Summary

This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. We study fundamental notions and techniques necessary for applications in finance such as option pricing and hedging.

Content

Topics include :

Keywords

probability, Ito calculus, diffusion, martingale representation, change of measure, Brownian motion, Poisson process

Learning Prerequisites

Important concepts to start the course

calculus

Learning Outcomes

By the end of the course, the student must be able to:

Transversal skills

Teaching methods

Lectures, exercises, homework

Expected student activities

attendance at lectures, completing exercises

Assessment methods

Supervision

Office hours No
Assistants Yes
Forum No

Resources

Virtual desktop infrastructure (VDI)

No

Bibliography

Björk, T. (2004), "Arbitrage Theory in Continuous Time", Oxford University Press

Glasserman, P. (2004), "Monte Carlo Methods in Financial Engineering", SpringerVerlag

Lamberton, D. and Lapeyre, B. (2000), "Introduction to Stochastic Calculus Applied to Finance", Chapman&Hall/CRC

Oksendal, B. (2007), "Stochastic Differential Equations. An Introduction with Applications", Springer Verlag

Shreve, S. (2004), "Stochastic Calculus for Finance I. The Binomial Asset Pricing Model", Springer Verlag

Shreve, S. (2004), "Stochastic Calculus for Finance II. Continuous-Time Models", Springer Verlag

Ressources en bibliothèque

Prerequisite for

In the programs

  • Financial engineering, 2018-2019, Master semester 1
    • Semester
      Fall
    • Exam form
      Written
    • Credits
      6
    • Subject examined
      Stochastic calculus
    • Lecture
      3 Hour(s) per week x 14 weeks
    • Exercises
      2 Hour(s) per week x 14 weeks
  • Financial engineering, 2018-2019, Master semester 3
    • Semester
      Fall
    • Exam form
      Written
    • Credits
      6
    • Subject examined
      Stochastic calculus
    • Lecture
      3 Hour(s) per week x 14 weeks
    • Exercises
      2 Hour(s) per week x 14 weeks

Reference week

MoTuWeThFr
8-9
9-10
10-11
11-12
12-13
13-14
14-15
15-16
16-17
17-18
18-19
19-20
20-21
21-22
Under construction
Lecture
Exercise, TP
Project, other

legend

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