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Number of hours
Lectures : 1.5
Tutorials : -
Laboratory works : -
Projects : -
Internship : -
Written tests : -
ECTS : 1.5
Officials :Jerome LELONG, Herve GUIOL
These are studies of fundamental mathematical articles for their usefulness in Finance. Students will be exposed to each of these articles and will have to work in depth in pairs on one of them. They must be able to demonstrate synthesis and mobilize their financial and mathematical knowledge in order to illustrate the importance of the articles presented.
Studies of articles. The following atricles are offered for reading for your general math / finance culture but are not the subject of the work.
Bernard Bru & Marc Yor : Comments on the life and mathematical legacy of Wolfgang Doeblin.
Hans Fölmer : On Kiyosi Itô's work and it's impact.
Kiyosi Itô : Memoirs of my research on stochastic analysis.
M. Yor, N. El Karoui, M. Jeanblanc, P. Protter, M. Crouhy : Mathématiques Financière et Industrie Bancaire. Papers of the year are to be founded in Teide.
Advanced probability course and intermediate Stochastic calculus.
Oral exam : 15 min presentation + 15 min questions