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. Quanititaive management of financial risks Preliminaries and complements in probability theory Quantile of a probability distribution Concepts of copula for modeling the dependence Concepts of point processes for modeling risks of loss Concepts of Value-at-Risk and applications in market risks Calculation of the law for accumulated losses application in actuarial sciences and operational risks management Chapter 2: Matheron, Analyse complexeCassini, The expected shortfall Concepts of coherent risks measures: Activity report of the project French — abstract in Englishresearch reports of the project, videos and It is to give some tools for the analysis of the regularity of PDEs of elliptic type. Gradient algorithm with fixed step Topology and geometry of convex sets: Two types of conditions are considered: This course aims at giving solid bases of functionals spaces necessary for the theory of elliptic partial differential equations PDEs.
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