Processus continu

Crédit : 3 ECTS
Langue du cours : anglais

Volume horaire

  • CM : 24 h

Description du contenu de l'enseignement

Introduction to continuous-time processes.

Planning course :
  • Trade-off notion
- Market Hypothesis
- Trade-off
- Comparing portfolios under the « no free lunch » theory, and applications

 
  • One Period Binomial model
- The probabilistic model
- Portfolio investment strategy
- Risk neutral probability
- Financial derivatives princing and hedging

 
  • The n-period Binomial model
- Discrete-time processes
- The probabilistic model
- Strategies
- Trade-off and Risk neutral probability
- A Financial derivative duplication
- Princing and hedging

 
  • Continuous-time processes and stochastic calculus
- Processes and martingales
- Brownian motion
- Process variations
- Itô Formula
- Itô process
- Stochastic differential equation

 
  • Black & Scholes model
- Hypothesis
- Market model
- Risk neutral probability
- Self-financing portfolios
- Financial derivatives duplication
- Black & scholes formula
- Sensitivities (Greeks)

Mode de contrôle des connaissances

Examen écrit.

Enseignant responsable

IDRIS KHARROUBI



Année universitaire 2016 - 2017 - Fiche modifiée le : 12-07-2017 (10H18) - Sous réserve de modification.