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Національного Університету «Києво-Могилянська Академія»
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Stochastic Processes, Financial Mathematics (Випадкові процеси, фінансова математика)
Кафедра: Математики
The course is intended to introduce students to the use of the stochastic techniques for the financial discret-time models. Thus the course will focus on one-period and multi-period binomial models for stock prices. The students are learned to compute a dynamic hedging strategy that replicates a given option and are proceed to the main concepts of the theory of stochastic processes with a focus on martingals. Finally, we take the binomial modeling from the discret-time numerical exploration to the continuous- time market trail in Black-Schouls option pricing formula. By the end of the course, students are enabled to do independent study, research a sensitivity of the model and compute a dynamic hedging strategy for real financial data
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Кандидат фізико-математичних наук