2023/2024

Stochastic Analysis in Finance

Type: Mago-Lego

Delivered by: HSE Banking Institute

When: 4 module

Open to: students of one campus

Language: English

ECTS credits: 3

Contact hours: 32

Course Syllabus

Abstract

Stochastic calculus is used in financial engineering. The minimum of required math will be covered: sigma-algebras, conditional expectations, martingales, Wiener process, stochastic integration. The big problem is that stochastic calculus is very hard from a mathematical viewpoint. We will formulate all the required theorems mostly without proofs.