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CRM > English > Activities > Curs 2019-2020 > ADVANCED COURSE 2: STOCHASTIC TOOLS IN FINANCE
General information

This advanced course is part of the


From June 7th to 11t​h, 2021

LocationCentre de Recerca Matemàtica  

Advanced course's information

There is a common consensus in considering the work by Louis Bachelier ‘Theorie de l’Spéculation’ as the origin of modern Mathematical Finance. In this dissertation, some of the most common concepts on stochastic analysis were introduced. After this, the development of the quantitative tools used in the financial industry has been closely connected to the development of stochastic methods and concepts. Stochastic volatility models and local volatility models are based on stochastic differential equations and the main tool related to them is Itô calculus. In particular, as an application of Itô’s lemma, the Feynman-Kac formula links option prices with partial differential equations.

Modeling real market data needs to construct adequate new stochastic processes. But once a model is proposed, several problems appear. And once again, this problems need the use of intensive stochastic analysis tools to be solved. In particular, how can we estimate some non-directly observed market parameters (as the volatility)? What is the error in these estimations? How can we efficiently estimate option prices and volatilities? How can we evaluate the sensitivities with respect to the parameters of the model (the Greeks) when the underlying functions are not differentiable?  How can we construct hedging strategies and how can we evaluate the error in these strategies? What are the main factors in the market affecting these errors? How can we optimize all our methodologies in option pricing and hedging?

This course is designed to connect the latest developments in stochastic analysis with the main problems appearing in real market practice.


​Elisa Alòs​​​​​​ ​​Universitat Pompeu Fabra
​Luis Ortiz-Gracia ​Universitat de Barcelona
​Josep Vives ​Universitat de Barcelona-IMUB​
Scientific Committee

Elisa Alòs​​​
​Universitat Pompeu Fabra
​José Manuel Corcuera​
​Universitat de Barcelona
​Maria Elvira Mancino
​Università di Firenze
​Cornelis W. Oosterlee
Delft University of Technology and CWI
​Luis Ortiz-Gracia
​Universitat de Barcelona
​Carlos Vázquez Cendón
​Universidade da Coruña

Monique Jeanblanc (Université d'Evry)

Prof. Jeanblanc is Emeritus Professor at Evry University. She was the head of the Chaire Risque de Crédit-Fédération Bancaire Française (2008-2012), and  co-head of the Chaire Marchés en Mutation - Fédération Bancaire Française (2013-2017). She is a member of the editorial boards of several journals. Her first works were on control theory, then she started to work in the field of financial mathem​​atics. She wrote about 100 papers in probability theory and mathematical finance and four books. She is interested in particular in credit risk modelling and role of information. She is a member of the executive board of Institut Louis Bachelier. Prof. Jeanblanc is Chevalier de l'ordre national de la Légion d'honneur.​

Course abstract


Rama Cont (University of Oxford)



The EMS offers some travel grants to young mathematicians from less-favoured regions within the geographical area of EMS membership for presenting results at conferences or attending courses, or for research stays in foreign countries, normally up to a maximum of 900 euros in each case or 500 euros for trips within Europe.

Eligible researchers should use this online form​ in order to apply for travel grants.


Regular registration fee: 500€
Reduced fee for scholars: 250€
Deadline for registration: May 16th, 2021
Registration fee covers the documentation package, coffee breaks and the social dinner
Refund policy:

The registration fee depends on the date of the payment.
Cancellations received 1 month before the start of the activity will incur in an administrative fee of 50of the total amount.
Cancellations received less than one month prior to the start of the activity are not refundable.


You will be able to pay by card or bank transfer through the on-line registration system.

​​If you need an invoice, please send an email to after you have completed the registration process until the "save data" button.​ 

Poster and contributed talks
Participants have the option to contribute with a talk or with a poster. To apply for talks and/or poster presentation please submit the following form before April 4th, 2021. (Resolutions will be sent before April 20th, 2021).

Poster size: "DinA0" vertically oriented.
Please note that submitting a proposal does not exempt the applicant from having to register to the course.​

Lodging information

For lodging in the area please click here​

For off-campus and family accommodation click here​​​  

Further information

For inquiries about the program please contact the research programme's coordinator Ms. Núria Hernandez at​



Back to IRP in Quantitative Finance web page​​​​​​​​​​​​​​​