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Informatique et Mathématiques appliquées
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> Formation > Cursus ingénieur

Selected Papers for Finance - WMMFTMP5

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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

Goals

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.

Content

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.

Prerequisites

Advanced probability course and intermediate Stochastic calculus.

Tests

Oral exam : 15 min presentation + 15 min questions

N1=Note soutenance+rapport
Non rattrapable

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 9
see the course schedule for 2020-2021

Additional Information

Course ID : WMMFTMP5
Course language(s): FR

You can find this course among all other courses.

Bibliography

Hull J.C., Options, Futures, and Other Derivatives ISBN-13 : 978-0134472089

Revuz D., Yor M., Continuous Martingales and Brownian Motion, ISBN-13 : 978-3540643258

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Date of update June 30, 2020

Université Grenoble Alpes