Course ''Finance, option pricing and stochastic calculus''
Lecturer for the course ''Finance, option pricing and stochastic calculus'' for final-year students at Ecole Centrale lille for the option DAD. The duration of the lecture is 20 hours.
The objective of this course is to introduce theoretical tools (discrete and continuous time markets) and numerical tools (Monte Carlo methods) for the pricing of contingent claims. Students will be evaluated by a numerical project dealing with the evaluation of both digital and call options in a market with stochastic volatility.
Tutorat at the Ecole Polytechnique (2009 - 2012)
Tutorat at the Ecole Polytechnique for the course MAP431 (Numerical analysis and optimisation) for second year students.
For this course I taught computer lab sessions in Scilab and FreeFem++ and I gave teaching support (1 hour and half once a week). I also proposed a numerical project carrying on the construction of approximated boundary conditions for a smooth domain with thin layers and I corrected their homework assignments.