Overview
Random variables, application to models of random payoffs. Conditional expectation. Normal distribution and multivariate normal distribution. Best predictors. Stochastic (random) processes. Random walk. Limit theorems. Brownian motion. Ito integral and Ito's formula. Black-Scholes, Ornstein-Uhlenbeck process and Vasicek's stochastic differential equations. Martingales. Gambler's ruin. Fundamental theorems of Mathematical Finance. Binomial and … For more content click the Read More button below.
Offerings
S1-01-CLAYTON-ON-CAMPUS
S1-FF-CLAYTON-FLEXIBLE
S2-01-CLAYTON-ON-CAMPUS
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Dr Fima Klebaner
Unit Coordinator(s)
Dr Fima Klebaner
Dr Ivan Guo
Notes
IMPORTANT NOTICE:
Scheduled teaching activities and/or workload information are subject to change in response to COVID-19, please check your Unit timetable and Unit Moodle site for more details.
Teaching approach
Active learning
Assessment
1 - In-semester assessment
2 - Examination (3 hours and 10 minutes)
Scheduled and non-scheduled teaching activities
Applied sessions
Lectures
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Miscellaneous Items Required (Unit Course Reader,Printing, Stationery)- $120.
Availability in areas of study
Applied mathematics
Financial and insurance mathematics
Mathematical statistics
Mathematics
Financial and insurance mathematics
Mathematical statistics
Mathematics