2026/2027

Научно-исследовательский семинар "Стохастический анализ и приложения в сфере финансов"

Статус: Дисциплина общефакультетского пула

Кто читает: Факультет математики

Где читается: Факультет математики

Когда читается: 1, 2 модуль

Охват аудитории: для всех кампусов НИУ ВШЭ

Преподаватели: Бернардан Седрик Жан Антуан

Язык: английский

Кредиты: 3

Контактные часы: 30

Course Syllabus

Abstract

This master-level course provides a rigorous introduction to the foundational tools of stochastic analysis and their direct applications in quantitative finance. Beginning with the theory of continuous-time stochastic processes, the curriculum develops the core concepts of martingales, Brownian motion, and Itô calculus. A central focus is placed on the formulation and solution of stochastic differential equations (SDEs), which serve as the fundamental models for asset prices, interest rates, and other key financial variables. The theoretical framework is then applied to core problems in financial engineering, including the derivation of the Black-Scholes partial differential equation, risk-neutral valuation, and the pricing of derivative securities. Advanced topics, such as the Feynman-Kac representation, stochastic optimal control, and an introduction to jump processes, may also be explored to equip students with the sophisticated mathematical toolkit required for modern quantitative risk management and asset pricing.