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, applications are presented w.r.t. continuous time stochastic finance (stochastic calculus, option pricing models, interest rate models). An introduction to Markov chains is also presented.
Learning outcomes of the learning unit
- Give the rigorous mathematical bases of stochastic processes and stochastic calculus.
- Apply these bases to some financial 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, hybrid learning)
face-to-face
Organisational adjustments related to the current health context
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
Below you will find information on the evaluation methods planned for in-person and remote exams as well as those planned for hybrid sessions. Depending on how the health crisis evolves, the chosen method will be communicated to you no later than one month before the start of the exam session.
Any session :
- In-person
written exam ( open-ended questions )
- Remote
written exam ( open-ended questions )
- If evaluation in "hybrid"
preferred remote
Additional information:
Written exam with open questions.
Work placement(s)
Organizational remarks
Contacts
Célia Paquay
HEC-Liège (building N1)
Tél : 04/232.72.52
e-mail : cpaquay@uliege.be
Items online
syllabus
slides