This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. The fundamental notions and techniques introduced in this course have many applications in finance, for example for option pricing, risk mana ...
Introduction to the mathematical theory of stochastic calculus: construction of the Ito stochastic integral, proof of the Ito formula, introduction to stochastic differential equations, Girsanov's theorem and the Feynman-Kac formula, the martingale represe ...
This course introduces slow/fast systems and the mathematical tools used to derive effective equations governing their behaviour. Students will learn core concepts and techniques for rigorously analysing complex stochastic multi-scale systems. ...
This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting
emphasis on theoretical models that help our understanding of financial decision
making and financial mar ...