Introduction to Stochastic Calculus and Valuation Models
 /  Introduction to Stochastic Calculus and Valuation Models
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.

Speakers
  • Céline CHEVALIER
    Maître de conférences à l’Université Paris II Panthéon-Assas.

General information

Address :

122, rue de Vaugirard
75006 Paris, FRANCE

L4 L6 L12 L13 Montparnasse
L10 L13 Duroc
L4 Saint-Placide
L12 Falguière

Phone :
+33 (0)1 53 63 80 76

Email :
secretairembf@u-paris2.fr

RECRUITMENT

Shortlisted results announced
15 juin 2021

Interviews
24 et 25 juin 2021

Final admission results
1er juillet 2021

Administrative registration
Du 1er au 15 juillet 2021

en_GBEnglish
fr_FRFrench en_GBEnglish