Finance in continuous time 

Ects : 6
Compétence à acquérir :
In the end of this course, the students must be comfortable with: i) Basic concepts of contingent claims, ii) the binomial model; iii) stochastic integrals and Itôs calculus; the Black and Scholes model

Description du contenu de l'enseignement :
Asset pricing, contingent claim, stochastic process,
brownian motion, Itô's formula, optimal stopping time.
This course is an introduction to "Derivative pricing and stochastic calculus II". It introduces the standard concepts and tools allowing to
understand arbitrage theory in continuous-time. The requirements from
probability theory are made as basic as possible to make the lectures
accessible to studends without a strong background in applied
mathematics.