Stochastic Methods in Finance

Course Information
TitleΣΤΟΧΑΣΤΙΚΕΣ ΜΕΘΟΔΟΙ ΣΤΑ ΧΡΗΜΑΤΟΟΙΚΟΝΟΜΙΚΑ / Stochastic Methods in Finance
Code0562
FacultySciences
SchoolMathematics
Cycle / Level1st / Undergraduate
Teaching PeriodWinter
CoordinatorAlexandra Papadopoulou
CommonNo
StatusActive
Course ID40000528

Programme of Study: UPS of School of Mathematics (2014-today)

Registered students: 4
OrientationAttendance TypeSemesterYearECTS
CoreElective CoursesWinter-5

Class Information
Academic Year2016 – 2017
Class PeriodWinter
Faculty Instructors
Weekly Hours3
Total Hours39
Class ID
600038234
Course Type 2016-2020
  • Scientific Area
Course Type 2011-2015
Specific Foundation / Core
Mode of Delivery
  • Face to face
Digital Course Content
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
ActivitiesWorkloadECTSIndividualTeamworkErasmus
Lectures391.3
Total391.3
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