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Academic Supervisor

Solodkov, Vasily M.

Manager

Odintsova, Ulyana

Manager of the Office of Studies of the HSE Banking Institute

Head of the Partnership Development Unit (CFA Institute Relations)
Veronika Belousova

CONTACTS

101000, Moscow, Myasnitskaya str. bld.20, office 541

+7 (495) 772 95 90 add. 22463/ 22484/ 22454

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Delivered at:: HSE Banking Institute

Course type:: Elective course

When:: 1 year, 4 module

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.

Master's Program 'Financial Analyst'

CONTACTS

Stochastic Analysis in Finance

Course Syllabus

Abstract