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  • Credits 7.5  credits
  • Education level 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 2024