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> Formation > Cursus ingénieur

Stochastic Processes with application in Finance - 4MMPSAF6

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  • Number of hours

    • Lectures : 16.5
    • Tutorials : 16.5
    • Laboratory works : -
    • Projects : -
    • Internship : -
    • Written tests : -
    ECTS : 3.0
  • Officials : Pierre ETORE

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.

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 = ( CC + 3 x E1) / 4
N2= Max( N1 , E2 )

Calendar

The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 7
see the course schedule for 2020-2021

Additional Information

Course ID : 4MMPSAF6
Course language(s): FR

The course is attached to the following structures:

You can find this course among all other courses.

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.

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Date of update January 15, 2017

Université Grenoble Alpes