FIN-415: Probability and stochastic calculus

Summary

This course gives an introduction to probability theory and stochastic calculus in discrete and continuous time. We study fundamental notions and techniques necessary for applications in finance such as option pricing, hedging, optimal portfolio choice and prediction problems.

Official source

https://edu.epfl.ch/coursebook/en/probability-and-stochastic-calculus-FIN-415

Moodle Page

http://go.epfl.ch/FIN-415

About this result

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

Probability theory: Topics in probability theory

Statistics

Statistical inference: Mathematical statistics

Economics

Microeconomics: Financial economics

Instructor

Lectures in this course (14)

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