Stochastic Methods in Finance
| Title | ΣΤΟΧΑΣΤΙΚΕΣ ΜΕΘΟΔΟΙ ΣΤΑ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΑ / Stochastic Methods in Finance |
| Code | 0562 |
| Faculty | Sciences |
| School | Mathematics |
| Cycle / Level | 1st / Undergraduate |
| Teaching Period | Winter |
| Coordinator | Alexandra Papadopoulou |
| Common | No |
| Status | Active |
| Course ID | 40000528 |
Programme of Study: UPS of School of Mathematics (2014-today)
Registered students: 4
| Orientation | Attendance Type | Semester | Year | ECTS |
|---|---|---|---|---|
| Core | Elective Courses | Winter | - | 5 |
| Academic Year | 2016 – 2017 |
| Class Period | Winter |
| Faculty Instructors |
|
| Weekly Hours | 3 |
| Total Hours | 39 |
| Class ID | 600038234
|
Class Schedule
| Building | Φυσικομαθηματική (Δ) |
| Floor | Υπόγειο 1 |
| Hall | ΑΙΘΟΥΣΑ Δ11 (183) |
| Calendar | Παρασκευή 11:00 έως 14:00 |
Course Type 2016-2020
- Scientific Area
Course Type 2011-2015
Specific Foundation / Core
Mode of Delivery
- Face to face
Digital Course Content
- e-Study Guide https://qa.auth.gr/en/class/1/600038234
Language of Instruction
- Greek (Instruction, Examination)
Prerequisites
General Prerequisites
Basic knowledge in Probability theory and stochastic processes
Learning Outcomes
Learning and analysing basic knowledge of stochastic finance theory and stochastic processes applied to financial models.
Solving problems in finance using theoretical tools.
Practising to modelling by applying stochastic tools
General Competences
- Apply knowledge in practice
- Retrieve, analyse and synthesise data and information, with the use of necessary technologies
- Make decisions
- Design and manage projects
- Advance free, creative and causative thinking
Course Content (Syllabus)
Introduction to probability theory - rates, time value of money – Options
and derivatives - Options evaluation - Conditional mean value - Martingales - Selffinanced
processes - Brownian motion - The Black-School model - Stochastic differential
equations - Stochastic integration - Evaluation of the European option.
Keywords
Options, derivatives, Options evaluation, Conditional mean value, Martingales, Selffinanced processes
Educational Material Types
- Book
Course Organization
| Activities | Workload | ECTS | Individual | Teamwork | Erasmus |
|---|---|---|---|---|---|
| Lectures | 39 | 1.3 | ✓ | ||
| Total | 39 | 1.3 |
Student Assessment
Description
Written examination
Student Assessment methods
- Written Exam with Problem Solving (Formative, Summative)
Bibliography
Course Bibliography (Eudoxus)
Στοχαστικές Μέθοδοι στα Χρηματοοικονομικά, Π.-Χ. Βασιλείου.
Last Update
20-09-2013
