Introduction to Stochastic Calculus and Valuation Models

Professor: Céline Chevalier, Panthéon-Assas University.

Objective: The aim of this course is to review probability theory and to introduce the stochastic calculus applied to finance.

Outline:

• Probability theory

Probability spaces; discrete and continuous random variables; functions and pairs of random variables

• Introduction to stochastic processes

• Financial applications

Grading: Final exam at the end of the semester.

Bibliography:

• Lethielleux et C. Chevalier, Probability Theory, Express Dunod, 2013 ;
• El Kharoui et E. Gobet, Les outils stochastiques des marchés financiers, Editions de l’Ecole Polytechnique, 2011 ;
• Bossu et P. Henrotte, Finance des marchés, techniques quantitatives et applications pratiques, Dunod, 2008.