Overview
Variations and quadratic variation of functions. Review of integration and probability. Brownian motion. Ito integrals and Ito's formula. Stochastic differential equations and diffusions. Calculation of expectations and PDE's, Feynman-Kac formula. Martingales and semimartingales. Change of probability measure and Girsanov theorem. Fundamental theorems of asset pricing. Change of numeraire. Application to … For more content click the Read More button below.
Offerings
S1-01-CLAYTON-ON-CAMPUS
S1-FF-CLAYTON-FLEXIBLE
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Dr Fima Klebaner
Unit Coordinator(s)
Dr Fima Klebaner
Assessment summary
Examination (3 hours and 10 minutes): 60% (Hurdle)
Continuous assessment: 40%
Hurdle requirement: If you would otherwise have passed the unit but who do not achieve at least 45% of the marks available for the end-of-semester examination will receive a Hurdle Fail (NH) grade and a mark of 45 on your transcript.
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Miscellaneous Items Required (Printing, Stationery)- $100.