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An introduction to stochastic calculus, statistics of stochastic processes and application to finance


At the end of this module, the student will have understood and be able to explain (main concepts):
- Stochastic calculus Itô's formula
 - Black Scholes model
 - Derivatives
The student will be able to:
- Evaluation and hedging of different financial derivatives

Needed prerequisite

Discret time martingales
Finance market and models in discrete time

Form of assessment

The evaluation of outcome prior learning is made as a continuous training during the semester. According ot the teaching, the assessment will be different: as a written exam, an oral exam, a record, a written report, peers review...