STOCHASTIC CALCULUS FOR FINANCE

Academic year
2016/2017 Syllabus of previous years
Official course title
STOCHASTIC CALCULUS FOR FINANCE
Course code
EM5025 (AF:244474 AR:100576)
Modality
On campus classes
ECTS credits
6
Degree level
Master's Degree Programme (DM270)
Educational sector code
SECS-S/06
Period
2nd Term
Course year
2
Where
VENEZIA
The main purpose of the course is to introduce students to some basic tools of Stochastic Calculus and Stochastic Differential equations, which are widely used in financial applications.
The contents of an introductory course of probability are considered known.

Students need preferably be acquainted with the contents of the course "Derivatives and insurance" and "Stochastic models for finance".
Brownian motion and white noise. Stochastic integrals. Ito’s formula. Ordinary Differential Equations. Stochastic differential equations. Applications to Finance.
Steven E. Shreve (2000), Stochastic Calculus for Finance II. Continuous Time Models, Springer, Chapters 1 – 4.

Lecture Notes
written and oral
Lectures and practice sessions.
English