MMA701 Stochastic processes
Stochastic processes play a key role in analytical finance and insurance, and in financial engineering. The course presents the basic models of stochastic processes such as random walks, Markov chains, Poisson process, Brownian motion and diffusion processes, elements of stochastic calculus as well as simulation of stochastic processes. This basic part of the course can also be interesting for students from other specialties than analytical finance and financial engineering. The final part of the course will present applications of stochastic processes in finance and insurance.