MQGE0007-1

Duration

30h Th

Number of credits

	Master in economics : general (120 ECTS)	5 crédits
	Master in business engineering (120 ECTS)	5 crédits
	Master in mathematics (120 ECTS)	5 crédits

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

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

Financial Mathematics and Stochastic Calculus