Processus Stochastiques : modèles et méthodes numériques

This course deals with modelisation using time continous processes. The goal is to present both theoritical and pratical aspects on Markov processes. It is more specifically for students of Mathematic, Actuarial and quantitative finance options and Masters. It is requiered to have followed a course on theory of probability (for example the course in S8 in Ecole Centrale de Lyon)

0. Probability theory (Reminders)
1. Stochastic processes, Brownian Motion
2. Martingales
3. Stochastic integral
4. Stochastic differential equations
5. Diffusion approximation
6. (BE) Methods of Monte Carlo Markov Chains and sampling