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> Formation > Cursus ingénieur

Financial risk management I - WMMA531P

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  • Number of hours

    • Lectures : 18.0
    ECTS : 1.75

Goals

We first deal with the fundamental tools of Stochastic Calculus. Then we deal with the valuation and hedging of financial products in a multi-asset context.

Contact Pierre ETORE

Content

Itô integral- Itô lemma - Girsanov theorem- change of numeraire - valuation theorem - risk neutral pricing and hedging- Examples



Prerequisites

"Introduction to stochastic calculus and applications to finance" ENSIMAG 2A.

In any case, some knowledge of random processes and Brownian motion are required.

Tests

Give kind of exam for session 1 and session 2: written, allowed documents or not, oral, practical work, reports, plan, vivas



N1=max(E1 , (CC +2E1)/3)
N2=max(N1,E2)

Additional Information

Curriculum->For Financial Engineering->Semester 5

Bibliography

I. Karatzas, S.E. Shreve "Brownian motion and stochastic calculus", Springer
S.E. Shreve "Stochastic Calculus for Finance, Volume II: Continuous-Time Models".

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Université Grenoble Alpes