Aller au menu Aller au contenu
Une voie, plusieurs choix
Informatique et Mathématiques appliquées
Une voie, plusieurs choix

> Formation > Cursus ingénieur

Stochastic Processes with application in Finance - 4MMPSAF4

A+Augmenter la taille du texteA-Réduire la taille du texteImprimer le documentEnvoyer cette page par mail cet article Facebook Twitter Linked In
  • Number of hours

    • Lectures : 16.5
    • Tutorials : 16.5
    ECTS : 2.5

Goals

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

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

Tests

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.

A+Augmenter la taille du texteA-Réduire la taille du texteImprimer le documentEnvoyer cette page par mail cet article Facebook Twitter Linked In

Date of update November 21, 2014

Université Grenoble Alpes