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 | |||
| Master in mathematics (60 ECTS) | 5 crédits |
Lecturer
Language(s) of instruction
English language
Organisation and examination
Teaching in the second semester
Schedule
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
Adaptation of teaching commitments following the COVID-19 pandemic for the May-June 2020 session
Teaching methods implemented : distance-learning
Partly face to face - partly e-learning
Assessment subjects
See document on Lol@ (section Exam) : http://lola.hec.uliege.be/pluginfile.php/217791/mod_resource/content/1/Content%20exam%20FMSC%20June20_200420.pdf
Assessment methods
Written exam - Open questions - Online
Contacts
Adaptation of teaching commitments following the COVID-19 pandemic for the Aug-Sept 2020 session
Assessment subjects
Same content as for June session
Assessment methods
Same methods as for June session : written online exam on Lol@ (open questions)
Contacts
Items online
syllabus
slides