Study programme 2019-2020 | Français | ||
Stochastic Modelling | |||
Learning Activity |
Code | Lecturer(s) | Associate Lecturer(s) | Subsitute Lecturer(s) et other(s) | Establishment |
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S-MATH-040 |
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Language of instruction | Language of assessment | HT(*) | HTPE(*) | HTPS(*) | HR(*) | HD(*) | Term |
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Français | Français | 30 | 0 | 30 | 0 | 0 | Q2 |
Organisational online arrangements for the end of Q3 2019-2020 assessments (Covid-19) |
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Description of the modifications to the Q3 2019-2020 online assessment procedures (Covid-19) |
The exam will consist in an oral exam. |
Content of Learning Activity
- 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
Type of Teaching Activity/Activities
Evaluations
The assessment methods of the Learning Activity (AA) are specified in the course description of the corresponding Educational Component (UE)