Master 2022/2023

Stochastic Analysis in Finance

Type: Elective course (Financial Analyst)

Area of studies: Finance and Credit

Delivered by: HSE Banking Institute

Where: HSE Banking Institute

When: 1 year, 4 module

Mode of studies: offline

Open to: students of one campus

Instructors: Boris Demeshev

Master’s programme: Financial Analyst

Language: English

ECTS credits: 3

Contact hours: 32

Course Syllabus

Abstract

Stochastic calculus is used in financial engineering. The minimum of required math will be covered: sigma-algebras, conditional expectations, martingales, Wiener process, stochastic integration. The big problem is that stochastic calculus is very hard from a mathematical viewpoint. We will formulate all the required theorems mostly without proofs.