Stochastic models, 7.5 credits

Important information to new students

• Register for the course
• Order the course literature
• Study periods of the school year (in Swedish)

Exercises and other study material available through the course web page.

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Course description

Upon completion of the course the student shall be able to:

• identify the stochastic concepts and expressions which arise in financial mathematics
• describe and apply linear and non-linear stochastic models within financial mathematics
• describe models which are based on Brownian motion
• describe and explain stochastic differential equations together with applying theory in practical problem solutions
• define stochastic integration and solve simpler equations

Language of instruction

Prerequisites and conditions of admission