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: 183
OrientationAttendance TypeSemesterYearECTS
CoreElective CoursesWinter-5

Class Information
Academic Year2019 – 2020
Class PeriodWinter
Faculty Instructors
Weekly Hours3
Class ID
600147650
Type of the Course
  • Scientific Area
Course Category
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
ActivitiesWorkloadECTSIndividualTeamworkErasmus
Lectures391.3
Reading Assigment1083.6
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