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| MQGE0007-1 | Financial Mathematics and Stochastic Calculus
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| Duration : | 30h Th |
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| Number of credits : |
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| Lecturer : | Louis Esch |
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Language(s) of instruction :
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| English language |
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Organisation and examination :
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| Teaching in the second semester |
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Course contents :
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| The bases of probability theory and stochastic processes are introduced. Then, two famiiles of applications are presented :
- Continuious time stochastic finance (stochastic calculus, option pricing models, interest rate models) ;
- Risk theory in non-life insurance (compound Poisson process, collective risk process, ruin probability, tarification principles). |
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Learning outcomes of the course :
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| - Give the rigorous mathematical bases of stochastic processes and stochastic calculus.
- Apply these bases to some financial and actuarial models.
Intended Learning Outcomes addressed by the course :
- Strengthening knowledge and understanding of basic management disciplines in order to use them to perform a rigorous analysis of a management situation and provide pertinent solutions
- Gaining the knowledge and understanding of the fields of financial engineering
- Understanding and being capable of using modelization methods, applied to the financial field
- Developing a transversal, global vision
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Prerequisites and co-requisites/ Recommended optional programme components :
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| - Basic probability theory ;
- Financial securities (interest rates, derivatives). |
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Planned learning activities and teaching methods :
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Mode of delivery (face-to-face ; distance-learning) :
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| face-to-face |
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Recommended or required readings :
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| - KAAS R., GOOVAERTS M., DHAENE J., DENUIT M., Modern actuarial risk theory, Kluwers Academic Publishers, 2001.
- KENNEDY D., Stochastic financial models, Chapman & Hall, 2010.
- MIKOSCH T., Elementary stochastic calculus with finance in view, World Scientific, 1998.
These readings are recommended, not required |
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Assessment methods and criteria :
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| Written exam. |
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Work placement(s) :
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Organizational remarks :
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Contacts :
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| Louis Esch
HEC-Ecole de gestion de l'Université de Liège (bâtiment N1)
Tél : 04/232.73.00
e-mail : louis.esch@ulg.ac.be |
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| Items online : |
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