Stochastic Processes
Stoshastic processes play a key role in analytical finance and insurance, and in financial egineering. The course presents the basic models of stochastic processes such as random walks, Markov chains, Poisson processes, Brownian motions and diffusion processes, elements of stochastic calculus and stochastic differential equationas as well as simulation of stochastic processes. The presentation of the theory will be illustrated by many examples representing aplications in asset pricing, porfolio analysis as well as pricing of options and other derivatives.
Occasions for this course
Autumn semester 2026
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Scope
7.5 credits
Time
2026-08-31 - 2026-11-08 (part time 50%)
Education level
Second cycle
Course type
Freestanding course
Application code
MDU-10164
Language
English
Study location
Västerås
Course syllabus & literature
See course syllabus and literature list (MMA701)Specific requirements
At least totally 120 credits in the engineering, natural sciences, business administration or economics areas including Probability 7.5 credits, of which 4.5 credits must be completed at the beginning of the course and Basic Calculus Continuation Course, 7.5 credits, of which 1.5 credits must be completed at the beginning of the course, or the equivalent. In addition, Swedish course 3 or Swedish level 3 and English course 6 or English level 2 are required. For courses given entirely in English exemption is made from the requirement in Swedish course 3 or Swedish level 3.
Selection
University credits