Stochastics and simulation for finance



In insurance and finance, randomness plays a major role. Insurance claim amounts and claim times are usually assumed to be random, and hence probability theory is needed to determine key performance measures like the ruin probability. Similarly, the stock market contains many random features, and knowledge of stochastic processes is needed to operate effectively in financial markets.In this course, we present methods that are relevant for the analysis of financial models and insurance models.
Cursusperiode1/09/13 → …