Study Programmes 2016-2017
WARNING : 2015-2016 version of the course specifications
MQGE0007-1  
Financial Mathematics and Stochastic Calculus
Duration :
30h Th
Number of credits :
Master in economics : general (120 ECTS)5
Master in business engineering (120 ECTS)5
Master in mathematics (120 ECTS)5
Lecturer :
Louis Esch
Language(s) of instruction :
English language
Organisation and examination :
Teaching in the second semester
Units courses prerequisite and corequisite :
Prerequisite or corequisite units are presented within each program
Learning unit contents :
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).
Learning outcomes of the learning unit :
- 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
Prerequisite knowledge and skills :
- Basic probability theory ; - Financial securities (interest rates, derivatives).
Planned learning activities and teaching methods :
Mode of delivery (face-to-face ; distance-learning) :
face-to-face
Recommended or required readings :
- 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
Assessment methods and criteria :
Written exam.
Work placement(s) :
Organizational remarks :
Contacts :
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
Items online :
syllabus
slides