After introducing the Ito integral and changes of probability measure, we turn to applications of the continuous-time stochastic calculus in a model of complete market: A global regulatory framework for more resilient banks and banking systemsDecember rev June E. Advanced differential calculus and applications 7. If the time permits, some elements of evaluation in incomplete market will be given at the end of the course mixed models for diffusion with jumps, models of stochastic volatility. Dispersion properties Nonlinear scalar conservation laws.
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