Stochastic Processes in Finance

Professor: Olivier Scaillet  (Uni Pignon 411)
Assistant: Daniel Batista da Silva (Uni Pignon 301)
Grading: Final Grade = 90% Exam + 10% max (Seminars; Exam)

Notes

Please follow the Nuvolos course webpage for the course organization details such as time slots, dates, visio conference invitations, rooms, as well as what to do for next week. The Nuvolos invitation link is sent to students of Master programs in September. If you are enrolled to the course and do not have the link, please contact the assistant by email.

References

G. Grimmett, D. Stirzaker, Probability and Random Processes, third edition (2001), Oxford University Press
G. Grimmett, D. Stirzaker, One Thousand Exercises in Probability (2001), Oxford University Press
N. Bouleau, Processus stochastiques et applications (2000), Hermann
T. Rolski, H. Schmidli, V. Schmidt, J. Teugels, Stochastic Processes for Insurance and Finance (1999), John Wiley & Sons
R. Mansuy, Histoire de Martingales (2005), Mathematical Social Sciences
B. Bru, M. Yor, Comments on the life and mathematical legacy of Wolfgang Doeblin (2002), Finance and Stochastics
J.-P. Kahane, L'Affaire Doeblin: Mon Souvenir du Pli Cacheté de Wolfgang Doeblin (2006), Mathematics and Social Sciences
M. Petit, Doeblin (2009), Springer Science
S. Göbel, The mathematician Wolfgang Doeblin (1915-1940) – searching the Internet
Market efficiency in real time

Slides

Introduction (French) Screencast

Markov Chains (French) Screencast

Birth and Poisson processes (French) Screencast

Point processes (French) Screencast

Martingales (French)  Screencast

Diffusion processes (French) Screencast

Figures

Exercises

HW1
HW2
HW3
HW4
HW5
HW6

Past Exams

Exam 2006 (FR)
Exam 2007 (FR)
Exam 2008 (FR)
Exam 2016 (EN)

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Mathworks