[{"command":"insert","method":null,"selector":".course-modal-ajax-placeholder-968265","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 4\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 2\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\u003E30\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\u003E12\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\u003EProbability, stochastic process\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\u003EEn Fran\u00e7ais :\u003C\/p\u003E\n\u003Cul\u003E\n\u003Cli\u003ERappel sur les th\u00e9ories de la mesure et des probabilit\u00e9s,\u003C\/li\u003E\n\u003Cli\u003EMouvement Brownien, int\u00e9grale stochastique par rapport au Brownien, calcul d\u2019Ito,\u003C\/li\u003E\n\u003Cli\u003EMartingales et th\u00e9or\u00e8me de Girsanov,\u003C\/li\u003E\n\u003Cli\u003ER\u00e9solution d\u2019\u00e9quations diff\u00e9rentielles stochastiques,\u003C\/li\u003E\n\u003Cli\u003EApplications : mod\u00e8le standard (Black et Scholes).\u003C\/li\u003E\n\u003C\/ul\u003E\n\u003Cp\u003EIn English:\u003C\/p\u003E\n\u003Cul\u003E\n\u003Cli\u003EReview of measure and probability theories,\u003C\/li\u003E\n\u003Cli\u003EBrownian motion, stochastic integral, Ito calculus,\u003C\/li\u003E\n\u003Cli\u003EMartingals and Girsanov theorem,\u003C\/li\u003E\n\u003Cli\u003EStochastic differential equations,\u003C\/li\u003E\n\u003Cli\u003EApplications: Black-Scholes model.\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\u003EEn Fran\u00e7ais :\nCette UE pr\u00e9sente une introduction aux concepts math\u00e9matiques utilis\u00e9s dans de nombreux domaines d\u2019applications, en particulier en finance et en \u00e9conomie. Plus pr\u00e9cis\u00e9ment, ils sont utilis\u00e9s, par exemple, dans la valorisation et la gestion des produits financiers complexes. Ce cours est fondamental et indispensable pour ceux qui souhaitent s\u2019orienter vers la finance et l\u2019ing\u00e9nierie financi\u00e8re.\u003C\/p\u003E\n\u003Cp\u003EIn English:\nThis course gives an introduction to probability theory and stochastic calculus in continuous time. We study fundamental notions and techniques necessary for applications in finance such as option pricing and hedging.\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\u003E17 sessions of lecture and 7 sessions of tutorials.\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\u003EY. Karatzas and S. Shreve : \u201cBrownian motion and stochastic calculus\u201d, Springer.\u003C\/p\u003E\n\u003Cp\u003ED. Revuz and M. Yor : \u201cContinuous martingales and Brownian motion\u201d, Springer.\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}]