[{"command":"insert","method":null,"selector":".course-modal-ajax-placeholder-965638","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  Calcul Stochastique\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\u003E21\u003C\/span\u003E\n                      \u003C\/div\u003E\n                                              \u003Cdiv class=\u0022mt-5 text-justify\u0022\u003E\n                          \u003Cspan class=\u0022field__label h4 mt-5 \u0022\u003ETravaux dirig\u00e9s :\u003C\/span\u003E\n                                      \u003Cspan\u003E21\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\u003Ehe prerequisites are undergraduate probability (Markov chains, discrete time martingales, different convergence notions in probability).\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\u003EWe focus on continuous processes through the study of Brownian motion, It\u00f4\u0027s formula, Brownian driven Stochastic Differential Equations (SDEs), their correspondence with some appropriate Partial Differential Equations (PDEs). We will also investigate some associated strategies of dynamic\/static pricing and hedging of options.\u003Cbr\u003E\nHere are the following key-points of the course.\u003C\/p\u003E\n\u003Cul\u003E\n\u003Cli\u003EPreliminary results on Gaussian vectors\u003C\/li\u003E\n\u003Cli\u003ECharacterizations of Brownian motion (as a Gaussian process or as a process with stationary independent Gaussian increments)\u003C\/li\u003E\n\u003Cli\u003EConstruction of Brownian motion through the approach of Paul L\u00e9vy.\u003C\/li\u003E\n\u003Cli\u003EIt\u00f4 processes and It\u00f4\u0027s formula.\u003C\/li\u003E\n\u003Cli\u003ESDEs and some associated Parabolic PDEs : the Feynman-Kac representation formula and Applications to finance\u003C\/li\u003E\n\u003Cli\u003EThe Girsanov theorem.\u003C\/li\u003E\n\u003C\/ul\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 purpose of these lectures is to provide the mathematical background to apprehend a wide class of models appearing in finance.\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\u003E42h of lectures\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\u003ESome possible companion books to the lectures are the following :\u003C\/p\u003E\n\u003Cp\u003E-Le Gall, J.F., Brownian Motion, Martingales, and Stochastic Calculus. Springer.\u003Cbr\u003E\n-Lamberton, D. and Lapeyre, B. Introduction to Stochastic Calculus Applied to Finance, Second Edition.\u003Cbr\u003E\nChapman \u0026amp; Hall\u003Cbr\u003E\n-Comets, F. and Meyre, T. Calcul stochastique et modeles de diusions : Cours et exercices corrig\u00e9s. Dunod.\u003C\/p\u003E\n\u003Cp\u003ESome more advanced references are :\u003C\/p\u003E\n\u003Cp\u003E-Karatzas, I. and Shreve, S. Brownian Motion and Stochastic calculus. Springer.\u003Cbr\u003E\n-Rogers, L.C.G. and Williams, D. Diffusions, Markov Processes, and Martingales : Volume 1, Foundations. Cambridge University press.\u003Cbr\u003E\n-Rogers, L.C.G. and Williams, D. Diffusions, Markov Processes and Martingales : Volume 2, It\u00f4 Calculus.Cambridge University press\u003Cbr\u003E\n-Ikeda, N. and Watanabe, N. Stochastic differential equations and diffusion processes. North Holland.\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}]