Ensimag Rubrique Formation 2022

Stochastic Processes with application in Finance - 4MMPSAF6

  • Number of hours

    • Lectures 16.5
    • Projects -
    • Tutorials 16.5
    • Internship -
    • Laboratory works -
    • Written tests -


    ECTS 3.0


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.


Pierre ETORE


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


3MMPA1 Probability theory and Applications.
4MMMPA Recommended


written final test (E).

*****MCC présentiel

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

E1: Exam session 1
E2: Exam session 2

CC: Contrôle Continu

*****MCC distanciel

idem mais E1 et E1 remplacés par des examens à distance.


The course exists in the following branches:

  • Curriculum - Financial Engineering - Semester 7
see the course schedule for 2023-2024

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.


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.