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.
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
written final test (E).
N1 = E1
N2= Max( E1 , E2 )
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.