Master
2021/2022
Stochastic Analysis in Finance
Type:
Elective course (Master of Finance)
Area of studies:
Finance and Credit
Delivered by:
HSE Banking Institute
Where:
HSE Banking Institute
When:
1 year, 4 module
Mode of studies:
distance learning
Online hours:
8
Open to:
students of one campus
Instructors:
Boris Demeshev
Master’s programme:
Finance
Language:
English
ECTS credits:
4
Contact hours:
4
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.
Learning Objectives
- The goal of this course is the Black and Scholes model and option pricing using martingale approach.
