SYLLABUS: Stochastic Processes

Information

• Language: English
• Level: senior undergraduates, postgraduates
• Availability: BSc Financial Engineering, BSc Finance, BSc Insurance, Study-abro​ad Program, International Master's Program
• Prerequisites: basic knowledge on calculus, linear algebra, probability, statistics, ordinary & partial differential equations and MatLab

Description

• This course is designed to introduce basic and classical stochastic processes (and some stochastic calculus), and their applications to asset pricing and risk management in finance (and insurance).  Their simulation algorithms are also covered and the associated numerical implementations are demonstrated via MatLab.    

References

• Stochastic Processes, Second Edition (Sheldon Ross, 1996)
• Stochastic Calculus for Finance II - Continuous-Time Models (Steven Shreve, 2004)