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
Rules
Enrolment Rule
Contacts
Chief Examiner(s)
Professor Fima Klebaner
Unit Coordinator(s)
Professor Fima Klebaner
Learning outcomes
On successful completion of this unit, you should be able to:
1.
Develop specialised mathematical knowledge and skills within the field of stochastic calculus.
2.
Understand the complex connections between financial and probabilistic concepts.
3.
Apply sophisticated stochastic modelling skills within the context of financial markets.
4.
Apply critical thinking to problems in stochastic calculus and financial mathematics.
5.
Apply problem solving skills within the finance context.
6.
Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the field of stochastic calculus.
7.
Communicate complex information in an accessible format to a non-mathematical audience.
Assessment
1 - Continuous assessment
2 - Final assessment - Exam (3 hours and 10 minutes)
Scheduled and non-scheduled teaching activities
Applied sessions
Seminars
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Miscellaneous items required (printing, stationery)- $100.