# 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: 270
OrientationAttendance TypeSemesterYearECTS
CoreElective CoursesWinter-5

 Academic Year 2020 – 2021 Class Period Winter Faculty Instructors Alexandra Papadopoulou 39hrs Weekly Hours 3 Class ID 600166640
Course Type 2016-2020
• Scientific Area
Course Type 2011-2015
Knowledge Deepening / Consolidation
Mode of Delivery
• Face to face
Digital Course Content
Erasmus
The course is also offered to exchange programme students.
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. Μodelling by applying stochastic finance 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
Use of Information and Communication Technologies
Use of ICT
• Use of ICT in Communication with Students
Description
Communication via webmail platform for further explanations, answers to questions concerning the subject
Course Organization
Lectures391.3
Exams30.1
Total1505
Student Assessment
Description
Written examination
Student Assessment methods
• Written Exam with Problem Solving (Formative, Summative)
Bibliography
Course Bibliography (Eudoxus)
- Στοχαστικά Χρηματοοικονομικά, Π.-Χ. Βασιλείου, Ζήτη, 2001. - Στοχαστικές Διαφορικές Εξισώσεις με Εφαρμογές στα Χρηματοοικονομικά, Σπηλιώτης Ι., 2004
Last Update
15-03-2020