Number of hours
- Lectures 16.5
- Projects -
- Tutorials 16.5
- Internship -
- Laboratory works -
- Written tests -
ECTS
ECTS 3.0
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.
Responsible(s)
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
3MMPA1 Probability theory and Applications.
4MMMPA Recommended
Test
Evaluation : 25% of Devoir à la maison and 75% of Examen Ecrit (3h)
Resit : 25% of Devoir à la maison (reported score) and 75% of Examen Ecrit (2h)
homework (CC) and written final test (ET1 for session 1 and ET2 for session 2)
We have
N1 = 0.25 x CC1 + 0.75 x ET1
N2 = max( N1, 0.25 x CC2 + 0.75 x ET2) (with CC2=CC1)
Calendar
The course exists in the following branches:
- Curriculum - Financial Engineering - Semester 7
Additional Information
Course ID : 4MMPSAF6
Course language(s): 
The course is attached to the following structures:
- Team Finance.
- Team Probability-Statistics
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.