| Code | Lecturer(s) | Associate Lecturer(s) | Subsitute Lecturer(s) et other(s) |
|---|---|---|---|
| S-MATH-040 |
|
| Language of instruction | Language of assessment | HT(*) | HTPE(*) | HTPS(*) | HR(*) | HD(*) | Term |
|---|---|---|---|---|---|---|---|
| Français | Français | 30 | 0 | 30 | 0 | 0 | Q2 |
Contents
- Continuous-time martingales
- Brownian motion
- Itô integral
- Stochastic calculus
- Stochastic differential equations
- Applications in finance
Required Learning Resources/Tools
Exercise sheets
Recommended Learning Resources/Tools
Not applicable
Other Recommended Reading
Léonard Gallardo, Mouvement brownien et calcul d'Itô : Cours et exercices corrigés, Hermann
Fima C. Klebaner : Introduction to stochastic calculuswith applications, 3ème édition, Imperial College Press
Karatzas, Ioannis, Shreve, Steven E., Brownian Motion and Stochastic Calculus, Springer
Mode of delivery
- Face to face
Term 1 Assessment - type
- N/A
Term 1 Assessment - comments
Not applicable
Term 2 Assessment - type
- Oral Examination
- Quoted exercices
Term 2 Assessment - comments
Not applicable
Term 3 Assessment - type
- Oral examination
Term 3 Assessment - comments
Not applicable
Resit Assessment - Term 1 (B1BA1) - Comments
Not applicable
Type of Teaching Activity/Activities
- Cours (cours magistraux; conférences)
- Préparations, travaux, recherches d'information