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
Prerequisites3MMPA1 Probability theory and Applications.
4MMMPA Recommended
Tests 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.
Additional Information Course ID : 4MMPSAF6
Course language(s): 
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 October 24, 2023