Number of hours
- Lectures 18.0
ECTS
ECTS 2.0
Goal(s)
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 Hervé GUIOLContent(s)
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.
Test
Give kind of exam for session 1 and session 2: written, allowed documents or not, oral, practical work, reports, plan, vivas
N1=(CC +2E1)/3
N2=(CC+2E2)/3
Additional Information
Curriculum->Financial Engineering->Semester 9
Bibliography
S.E. Shreve "Stochastic Calculus for Finance, Volume II: Continuous-Time Models".
I. Karatzas, S.E. Shreve "Brownian motion and stochastic calculus", Springer