Master
2022/2023
Stochastic Models in Finance
Type:
Elective course (Financial Engineering)
Area of studies:
Finance and Credit
Delivered by:
Практико-ориентированные магистерские программы факультета экономических наук
Where:
Faculty of Economic Sciences
When:
2 year, 2 module
Mode of studies:
offline
Open to:
students of one campus
Instructors:
Sergey Artamonov
Master’s programme:
Financial Engineering
Language:
English
ECTS credits:
3
Contact hours:
28
Course Syllabus
Abstract
The objectives the discipline "Stochastic Models in Finance" are to demonstrate to students of the master's program some approaches in stochastic analysis, aimed at predicting markets.
An indicative list of questions to be studied is presented below.
Overview of single-period and multi-period market models. Conditional mathematical expectations and martingales. Binomial multi-period model. The price of a European option. Brownian motion and geometric Brownian motion. Use of Brownian motion in stock price dynamics. Review of classical probabilistic theories of the financial market. Basic concepts of stochastic differential equations. Transition from binomial market model to continuous. Black-Scholes formula and equation. "Greek" parameters of risk management.