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Course Syllabus

Master 2025/2026

Stochastic Analysis in Finance

Type: Elective course (Financial Analyst)
Delivered by: HSE Banking Institute
When: 1 year, 4 module
Open to: students of one campus
Language: English
Contact hours: 32

Course Syllabus

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Abstract

Stochastic calculus is used in financial engineering. The minimum of required math will be covered: sigma-algebras, conditional expectations, martingales, Wiener process, stochastic integration. The big problem is that stochastic calculus is very hard from a mathematical viewpoint. We will formulate all the required theorems mostly without proofs.