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Stochastic Calculus

The use of probability theory in financial modelling can be traced back to the work on Bachelier at the beginning of last century with advanced probabilistic methods being introduced for the first time by Black, Scholes and Merton in the seventies.

Modern financial quantitative analysts make use of sophisticated mathematical concepts, such as martingales and stochastic integration, in order to describe the behaviour of the markets or to derive computing methods.

This course bridges the gap between mathematical theory and financial practice by providing a hands-on approach to probability theory, Markov chains and stochastic calculus. Participants will practice all relevant concepts through a batch of Excel based exercises and workshops.

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  • Date:
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  • Venue:
  • Central London
  • Fee:

This course is also available in New York Time Zone

Who The Course is For
  • Quantitative analysts
  • Financial engineers
  • Researchers
  • Risk managers
  • Structurers
  • Market analysts and product controllers

Past participants have included: Chief investment officers, Asset Managers, Strategists, Private Banks, Relationship Managers

Prior Knowledge

Delegates should have a good understanding of Elementary Probability Theory, Calculus and Linear Algebra (covered in Maths Refresher).

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