Stochastic processes in Finance (Fall 2019/2020)

Professor: Olivier Scaillet  (Uni Pignon 411)
Assistant: Evgenii Anisimov (Uni Pignon 310)
Course: Monday (M3220, 12-14): 23/09, 30/09
Wednesday (M3220, 16-18): 18/09, 25/09, 2/10, 16/10, 23/10, 30/10, 20/11, 4/12, 11/12
Friday (M4220, 14-16): 6/12, 13/12
Seminar: Monday(M3220, 12-14): 7/10, 14/10, 21/10, 28/10, 11/11, 18/11, 25/11, 2/12, 9/12, 16/12
Friday(M4220, 14-16): 27/9, 1/11
Office hours: Monday (Uni Pignon 310, 18-19): get an appointment by email
Grading: Final grade = 90% exam + 10% max(participation in seminars; exam)

Notes

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)

Markov Chains (French)

Birth processes and Poisson processes (French)

Point processes (French)

Martingales (French)

Diffusion processes (French)


Figures

Exercises

HW1 Solutions
HW2
HW3
HW4
HW5
HW6


Exam 2006 (FR)

Exam 2007 (FR)

Exam 2008 (FR)

Exam 2016 (EN)

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Maths fi (English) Maths fi (French)

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Wilmott

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Mathworks