MathMods :: Joint MSc

Additional Info

• ECTS credits: 6
• University: University of Nice - Sophia Antipolis
• Semester: 3
• Lecturer 1: C. Bernardin
• Objectives:

   

  This course is devoted to the introduction of the basic concepts of continuous time stochastic processes which are used in many fields : physics, finance, biology, medicine, filtering theory, decision theory. It will consist of a presentation of Brownian motion, Itô integral, stochastic differential equations and Girsanov theorem. Several applications will be given.

• Topics:

   

  Brownian motion. Filtration and financial information; stopping times. Itô integral, Itô processes and financial strategies. Martingale processes, Girsanov theorem and arbitrage opportunities. Stochastic differential equations and spot prices models. Black-Scholes model.