Derivative pricing & Stochastic calculus I
Enseignant responsable :
Volume horaire : 24Description du contenu de l'enseignement :
Course Objectives:
The primary aim of this course is to provide students with a comprehensive understanding of dynamic stock models and derivative securities. We will delve into essential mathematical concepts, illuminating the fundamental techniques for pricing and hedging in both discrete and continuous time. These concepts are pivotal for prospective professionals in numerous finance sectors.
Course Breakdown:
1. Probability Theory Refresher 2. Arbitrage 3. Binomial Pricing Model 4. Dynamic Strategies in Multiple Periods 5. Continuous-Time Models and Stochastic Calculus 6. Portfolio Dynamics & Stochastic Integration
7. Black & Scholes Model
Support Class for M1-level Students:
Complementing the main course, this support class seeks to solidify the understanding and application of concepts explored in 'Derivatives Pricing and Stochastic Calculus 1'. Beginning with a concise recap of salient class content, the support course then emphasizes the real- world financial application of these principles. The structure of the main course is mirrored in this supplementary class to optimize the integration and mutual reinforcement of the two courses.
Pré-requis recommandés :
Prerequisites:
While the course is designed to be self-contained, with the initial chapter laying out the pertinent concepts of probability theory, an introduction in probability theory will greatly benefit the students and is not covered in this course. For further reading, chapters All the Math you need and Elementary Stochastic Calculus in “Paul Wilmott Introduces quantitative Finance”, Willmott P, 2nd Edition, Wiley. 2007.
Coefficient : .Compétence à acquérir :
Master regulation historical evolution, ethics problems in financial markets and their consequences on the recent codes of conduct, and the main compliance concepts applied in a Corporate& Investment Bank
Mode de contrôle des connaissances :
Assessment
1 mid-term exam (30%), 1 final exam (70%)
Bibliographie, lectures recommandées
References
Shreve, S. (2005). Stochastic calculus for finance I: the binomial asset pricing model. Springer Science & Business Media.
Shreve, S. E. (2004). Stochastic calculus for finance II: Continuous-time models (Vol. 11). New York: springer.
Back, K. (2005). A course in derivative securities: Introduction to theory and computation. Berlin: Springer.