Ensimag Rubrique Formation 2022

Stochastic Processes with application in Finance - 4MMPSAF4

  • Number of hours

    • Lectures 16.5
    • Tutorials 16.5

    ECTS

    ECTS 2.5

Goal(s)

This is an introduction to stochastic processes mainly through discrete time models.
Discrete time processes are introduced (Markov chains, martingales). Then the principles of mathematical finance are introduced through discrete time models.

Contact Pierre ETORE

Content(s)

The main topics in this lecture are
1. Integration theory
2. Conditional expectations
3. Stochastic processes: generalities, Markov chains
4. Discrete time martingales
5. Discrete time models
6. Poisson process



Prerequisites

3MMPA1 Probability theory and Applications.
4MMMPA Recommended

Test

written final test (E).



N1 = E1
N2= Max( E1 , E2 )

Additional Information

Curriculum->For Financial Engineering->Semester 3

Bibliography

Grimmett, G., Stirzaker, D. “Probability and Random Processes”, Oxford 3 edition 2001

Shreve, S.E., "Stochastic Calculus for Finance I : The Binomial Asset Pricing Model", Springer Finance 2003.