This course aims at introducing the basic tools to properly model uncertain events. We shall start by revisiting basic probability theory. We shall enrich our knowledge with additional technicalities like sigma-fields that will allow us to mathematically represent the concept of information. We will then move from random variables to stochastic processes in order to be able to handle processes that behave randomly through time. Two specific processes will retain our attention due to their fundamental use in finance: random walk and brownian motion. Finally, we will learn how we can maniplate those to represent the dynamics of Financial assets.
- Enseignant: Vrins Frédéric