Stochastic Calculus
 /  Stochastic Calculus
Stochastic Calculus

Professor: Céline Chevalier, Panthéon-Assas University.

Objectives: The aim of the course is to present the main applications of stochastic calculus in finance. The approach is directly inspired by John Hull's book Options, futures and other derivative assets. .

Outline:

1. Theory of non-arbitration

  • (13) Introduction to Binomial Trees, Discrete Time Modeling
  • (14) Modeling in continuous time, Process of evolution of the course of an action, Ito's lemma
  • (15) The model of Black and Scholes

2. Calculating the price of an option with Excel

  • (19) The Greek letters
  • (20) Volatility curves
  • (21) The evaluation of options by binomial trees, The evaluation of American options
  • (22) The Value-at-Risk.

(The numbers correspond to the chapters of Hull's book)

Grading: Mid-term exam and a final exam at the end of the semester.

Bibliography:

  • Hull, 9 édition, Pearson, 2014

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
14 juin 2022

Interviews
22 et 23 juin 2022

Final admission results
24 juin 2022 au plus tard

Fin des inscriptions administratives
8 juillet 2022 (MBF1 et MBF2), 13 juillet 2022 (Master 2 TFB).

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