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.
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.
written final test (E).
N1 = ( CC + 3 x E1) / 4
N2= Max( N1 , E2 )
The course exists in the following branches:
Course ID : 4MMPSAF6
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.
Date of update January 15, 2017