Stochastic Processes

  • Credits 7.5  credits
  • Education ordinance Second cycle
  • Study location Västerås
  • Course code MMA701
  • Main area Mathematics/Applied Mathematics

Stoshastic processes play a key role in analytical finance and insurance, and in financial egineering. The course presents the basic models of stochastic processes such as random walks, Markov chains, Poisson processes, Brownian motions and diffusion processes, elements of stochastic calculus and stochastic differential equationas as well as simulation of stochastic processes. The presentation of the theory will be illustrated by many examples representing aplications in asset pricing, porfolio analysis as well as pricing of options and other derivatives.

Occasions for this course

Autumn semester 2021

  • Autumn semester 2021


    7.5 credits


    2021-08-30 - 2021-11-07 (part time 50%)

    Education ordinance

    Second cycle

    Course type


    Application code




    Study location


    Course syllabus & literature

    See course plan and literature list (MMA701)

    Specific requirements

    At least totally 120 credits in the technical, natural sciences, business administration or economics areas including Probability 7.5 credits, of which 4.5 credits must be completed at the beginning of the course and Basic Calculus Continuation Course, 7.5 credits, of which 1.5 credits must be completed at the beginning of the course, or the equivalent. In addition Swedish course B/Swedish course 3 and English course A/English course 6 are required. For courses given entirely in English exemption is made from the requirement in Swedish course B/Swedish course 3.


    University credits

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