2023-2024 / MQGE0007-1

Financial Mathematics and Stochastic Calculus

Duration

30h Th

Number of credits

 Master in economics : general (120 ECTS)5 crédits 
 Master in business engineering (120 ECTS)5 crédits 
 Master in business engineering (120 ECTS) (Digital Business)5 crédits 
 Master in mathematics (120 ECTS)5 crédits 
 Master in mathematics (60 ECTS)5 crédits 

Lecturer

Elise Vandomme

Language(s) of instruction

English language

Organisation and examination

Teaching in the second semester

Schedule

Schedule online

Units courses prerequisite and corequisite

Prerequisite or corequisite units are presented within each program

Learning unit contents

The bases of probability theory and stochastic processes are introduced. Then,  applications are presented w.r.t. continuous time stochastic finance (stochastic calculus, option pricing models, interest rate models). An introduction to Markov chains is also presented.

Learning outcomes of the learning unit

- Give the rigorous mathematical bases of stochastic processes and stochastic calculus. - Apply these bases to some financial models.
Intended Learning Outcomes addressed by the course :

  • Strengthening knowledge and understanding of basic management disciplines in order to use them to perform a rigorous analysis of a management situation and provide pertinent solutions
  • Gaining the knowledge and understanding of the fields of financial engineering
  • Understanding and being capable of using modelization methods, applied to the financial field
  • Developing a transversal, global vision

Prerequisite knowledge and skills

- Basic probability theory ; - Financial securities (interest rates, derivatives).

Planned learning activities and teaching methods

The sessions are mainly based on the presentation of the theoretical frame by the teacher and the practice of exercices and applications by the students. The teacher expects the students to actively participate during the sessions, for instance via Wooclap or other surveys.
Some sessions will be dedicated to practical exercises.

Mode of delivery (face to face, distance learning, hybrid learning)

Face-to-face course


Additional information:

Ex-cathedra sessions where the presentation of theoretical concepts and the resolution of exercises by the students will be mixed. Some sessions will be particularly dedicated to exercises in order to allow students to face the subject and ask their questions to the teacher.

Recommended or required readings

Slides used during the lessons are available on Lola.



References:

MIKOSCH T., Elementary stochastic calculus with finance in view, World Scientific, 1998.

Portrait, R., & Poncet, P. (2014). Finance de marché: instruments de base, produits dérivés, portefeuilles et risques. Dalloz.

Hull, J. C. (2018) Option, Futures, and Other Derivatives, Tenth edition. Pearson

Exam(s) in session

Any session

- In-person

written exam ( open-ended questions )

Written work / report


Additional information:

Final grade is based on

- a project 25%

- a written exam with open questions 75% (a form will be provided at the exam)


In case of a resit, an exemption will be automatically given for the possible passed part (at least 10/20). In case of a resit failure, no partial exemption will be given for next year.

Work placement(s)

Organisational remarks and main changes to the course

The course is taught in English.

Lessons will not be recorded.

Contacts

Professor

Élise Vandomme
HEC- Management School of the University of Liege (building N1)
e-mail : Elise.Vandomme@uliege.be
Office: N1a - 304

Teaching Assistant

Emeline Leloup
HEC- Management School of the University of Liege (building N1)
email: emeline.leloup@uliege.be
Office: N1a - 310

Association of one or more MOOCs

Items online

syllabus
slides