Stochastic Calculus

In this course the following subjects will be studied:

1. Ito integration

2. Ito calculus including Ito's formula

3. Stochastic differential equations

4. Feynman Kac formula

5. Introduction to numerical methods for stochastic differential equations

The final grade of the course consists of the following components:

- Depending on the number of students, there will be an oral or a written exam at the end of Q4 which counts for 100%.

Resit/ Repair opportunities:

In case of insufficient results a repair option may exist in accordance with Article 2, Examination requirements, Clause 4, of the Implementation Regulations 2024-2025.

Disclaimer: information may change depending on unforeseen circumstances or measures (see: TER Art 29, sub 4).