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