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Regular version of the site
Master 2024/2025

Stochastic Analysis in Finance

Type: Elective course (Financial Analyst)
Area of studies: Finance and Credit
Delivered by: HSE Banking Institute
When: 1 year, 4 module
Mode of studies: offline
Open to: students of one campus
Master’s programme: Financial Analyst
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.