[{"command":"insert","method":null,"selector":".course-modal-ajax-placeholder-965609","data":"\u003Cdiv class=\u0022container content-rte\u0022\u003E\n  \u003Cdiv class=\u0022row\u0022\u003E\n    \u003Cdiv class=\u0022box col-md-6 bg-primary text-white\u0022\u003E\n      \u003Ch2 class=\u0022h1 text-left\u0022\u003E  M\u00e9thodes num\u00e9riques de pricing et calibration de mod\u00e8les\n\u003C\/h2\u003E\n                  \u003Cdiv class=\u0022field-spacing\u0022\u003E\n        \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EECTS :\n          6\n        \u003C\/div\u003E\n      \u003C\/div\u003E\n                  \u003Cdiv class=\u0022field-spacing\u0022\u003E\n        \u003Cdiv class=\u0022field__label h3 dash\u0022\u003ESemestre calendaire :\n          Semester 1\n        \u003C\/div\u003E\n      \u003C\/div\u003E\n            \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003ED\u00e9tail du volume horaire\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                          \u003Cspan class=\u0022field__label h4 mt-5 \u0022\u003ECours magistraux :\u003C\/span\u003E\n                                      \u003Cspan\u003E42\u003C\/span\u003E\n                      \u003C\/div\u003E\n                                                                                        \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003ELangue d\u0026#039;enseignement\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003EAnglais\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EEnseignement \u00e0 distance\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003Enon\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n      \u003C\/div\u003E\n    \u003Cdiv class=\u0022box col-md-6\u0022\u003E\n            \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EPr\u00e9requis\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003E\u003Cp\u003EProbabilities at a good master 1 level, discrete and continuous time stochastic processes, Derivative products and contracts in Finance and programming with Python at a good master 1 level.\u003C\/p\u003E\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EProgramme \/ plan \/ contenus\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003E\u003Cp\u003EI Stochastic analysis prerequisites.\u003Cbr\u003E\nII Monte Carlo methods and variance reduction techniques.\u003Cbr\u003E\nIII Hedging financial options.\u003Cbr\u003E\nIV Advanced computation of Greeks.\u003Cbr\u003E\nV Advanced numerical methods for pricing exotic and path dependent of options .\u003Cbr\u003E\nVI Analysis of discretization schemes for stochastic differential equations.\u003Cbr\u003E\nVII Model calibration techniques.\u003C\/p\u003E\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EObjectifs d\u0026#039;apprentissage\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003E\u003Cp\u003EThe aim of this course is to introduce advanced numerical methods needed for quantitative work in finance. To this avail, the course will provide a detailed study for calibrating models, pricing and hedging financial options.\u003C\/p\u003E\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EOrganisation g\u00e9n\u00e9rale et modalit\u00e9s p\u00e9dagogiques\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003E\u003Cp\u003E42 hours of lectures\u003Cbr\u003E\nBlackboard course, homework coding with Python\u003C\/p\u003E\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EModalit\u00e9s p\u00e9dagogiques particuli\u00e8res\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003E\u003Cp\u003EL\u0027UEVE prend en charge 31,5 HETD, le reste est \u00e0 la charge de l\u0027ENSIIE.\u003C\/p\u003E\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n                \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003EBibliographie\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003E\u003Cp\u003EMainly:\u003C\/p\u003E\n\u003Cp\u003ELamberton, D. and Lapeyre P., Introduction to Stochastic Calculus Applied to Finance. Chapman \u0026amp; Hall, 2nd revised edition, 2007. Hull, J., Options, Futures, and Other Derivative Securities, Prentice-Hall, last edition. Glasserman P., Monte Carlo Methods in Financial Engineering, Springer, 2004. Shreve, S.: Stochastic Calculus for Finance II: Continuous\u2014Time Models, Springer, 2004 or later. Cont R. et P. Tankov, Modelling with Jump Processes, Chapman \u0026amp; Hall, 2003.\u003C\/p\u003E\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n        \u003Cdiv class=\u0022field-spacing\u0022\u003E\n      \u003Cdiv class=\u0022field__label h3 dash\u0022\u003ENature de l\u0026#039;\u00e9valuation\u003C\/div\u003E\n                        \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                                      \u003Cspan\u003EEvaluation Continue non Int\u00e9grale\u003C\/span\u003E\n                      \u003C\/div\u003E\n                  \u003C\/div\u003E\n      \u003C\/div\u003E\n  \u003C\/div\u003E\n\u003C\/div\u003E\n","settings":null}]