Fiches de cours 2017-2018

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Stochastic calculus II

FIN-409

Enseignant(s) :

Filipovic Damir

Langue:

English

Summary

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

Content

Topics include :

Keywords

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

Learning Prerequisites

Required courses

Stochastic calculus I

Learning Outcomes

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

Transversal skills

Teaching methods

Lectures, exercises, homework

Assessment methods

Midterm and final exams are open book (only lecture notes)

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 II. Continuous-Time Models", Springer Verlag

Ressources en bibliothèque

Prerequisite for

Advanced derivatives
Credit risk
Derivatives (taken concurrently)
Fixed income analysis
Real options and financial structuring

Dans les plans d'études

Semaine de référence

 LuMaMeJeVe
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     
En construction
 
      Cours
      Exercice, TP
      Projet, autre

légende

  • Semestre d'automne
  • Session d'hiver
  • Semestre de printemps
  • Session d'été
  • Cours en français
  • Cours en anglais
  • Cours en allemand