 | Study programme 2020-2021 | Français | |
 | Stochastic Modelling (List A) | ||
Programme component of Master's in Mathematics à la Faculty of Science |
| Students are asked to consult the ECTS course descriptions for each learning activity (AA) to know what special Covid-19 assessment methods are possibly planned for the end of Q3 |
|---|
| Code | Type | Head of UE | Department’s contact details | Teacher(s) |
|---|---|---|---|---|
| US-M1-SCMATH-029-M | Optional UE | GROSSE-ERDMANN Karl | S844 - Probabilité et statistique |
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| Language of instruction | Language of assessment | HT(*) | HTPE(*) | HTPS(*) | HR(*) | HD(*) | Credits | Weighting | Term |
|---|---|---|---|---|---|---|---|---|---|
| Français | 30 | 0 | 30 | 0 | 0 | 9 | 9.00 | 2nd term |
| AA Code | Teaching Activity (AA) | HT(*) | HTPE(*) | HTPS(*) | HR(*) | HD(*) | Term | Weighting |
|---|---|---|---|---|---|---|---|---|
| S-MATH-040 | Stochastic Modelling | 30 | 0 | 30 | 0 | 0 | Q2 | 100.00% |
| Programme component |
|---|
Objectives of Programme's Learning Outcomes
- Have integrated and elaborate mathematical knowledge.
- Mobilise the Bachelor's course in mathematics to address complex issues and have profound mathematical expertise to complement the knowledge developed in the Bachelor's course.
- Use prior knowledge to independently learn high-level mathematics.
- Carry out major projects.
- Work in teams and, in particular, communicate effectively and with respect for others.
- Adapt to different contexts.
- Have developed a high degree of independence to acquire additional knowledge and new skills to evolve in different contexts.
- Critically reflect on the impact of mathematics and the implications of projects to which they contribute.
- Demonstrate thoroughness, independence, creativity, intellectual honesty, and ethical values.
Learning Outcomes of UE
Introduction to continuous-time stochastic processes
Content of UE
- Continuous-time martingales
- Brownian motion
- Itô integral
- Stochastic calculus
- Stochastic differential equations
- Applications in finance
Prior Experience
Good knowledge of the course of Probability and Statistics III
Type of Assessment for UE in Q2
- Oral Examination
Q2 UE Assessment Comments
Not applicable
Type of Assessment for UE in Q3
- Oral examination
Q3 UE Assessment Comments
Not applicable
Type of Teaching Activity/Activities
| AA | Type of Teaching Activity/Activities |
|---|---|
| S-MATH-040 |
|
Mode of delivery
| AA | Mode of delivery |
|---|---|
| S-MATH-040 |
|
Required Reading
| AA | |
|---|---|
| S-MATH-040 |
Required Learning Resources/Tools
| AA | Required Learning Resources/Tools |
|---|---|
| S-MATH-040 | Exercise sheets |
Recommended Reading
| AA | |
|---|---|
| S-MATH-040 |
Recommended Learning Resources/Tools
| AA | Recommended Learning Resources/Tools |
|---|---|
| S-MATH-040 | Not applicable |
Other Recommended Reading
| AA | Other Recommended Reading |
|---|---|
| S-MATH-040 | Léonard Gallardo, Mouvement brownien et calcul d'Itô : Cours et exercices corrigés, Hermann Fima C. Klebaner : Introduction to stochastic calculuswith applications, 3ème édition, Imperial College Press Karatzas, Ioannis, Shreve, Steven E., Brownian Motion and Stochastic Calculus, Springer |
Grade Deferrals of AAs from one year to the next
| AA | Grade Deferrals of AAs from one year to the next |
|---|---|
| S-MATH-040 | Authorized |
(*) HT : Hours of theory - HTPE : Hours of in-class exercices - HTPS : hours of practical work - HD : HMiscellaneous time - HR : Hours of remedial classes. - Per. (Period), Y=Year, Q1=1st term et Q2=2nd term