Undergraduate Course: Probability, Measure & Finance (MATH10024)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Credit level (Normal year taken) | SCQF Level 10 (Year 4 Undergraduate) |
Availability | Available to all students |
| SCQF Credits | 20 |
ECTS Credits | 10 |
| Summary | Course for final year students in Honours programmes in Mathematics.
Sigma-algebras and Borel sets. Measurable functions. Lebesgue measure and integral. Probability measure. Random variables. Distributions and distribution functions. Conditional expectation. Stochastic Processes. Martingales. Binomial Trees. Risk-neutral valuation. Cox-Ross-Rubinstein model. Stopping times. Brownian motion. Stochastic integral. Stochastic differential equations. Ito's lemma. Girsanov's theorem. Black & Scholes option pricing formula. Implied volatility. The Greeks.
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| Course description |
Not entered
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
Students MUST have passed:
Financial Mathematics (MATH10003) AND
Metric Spaces (MATH10101)
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | A pass in Honours Analysis (MATH10068) in 2020-21 or earlier is an acceptable substitute for a pass in Metric Spaces (MATH10101)
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Information for Visiting Students
| Pre-requisites | None |
| High Demand Course? |
Yes |
Course Delivery Information
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| Academic year 2022/23, Available to all students (SV1)
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Quota: None |
| Course Start |
Full Year |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
200
(
Lecture Hours 44,
Seminar/Tutorial Hours 10,
Summative Assessment Hours 3,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
139 )
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| Assessment (Further Info) |
Written Exam
95 %,
Coursework
5 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
Coursework 5%, Examination 95% |
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
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| Main Exam Diet S2 (April/May) | Probability, Measure & Finance (MATH10024) | 3:00 | |
Learning Outcomes
On completion of this course, the student will be able to:
- Understand the notion of probability measure and space.
- Demonstrate familiarity with stochastic calculus, conditional expectation and martingales.
- Demonstrate knowledge of the binomial tree technique applied in option pricing.
- Demonstrate knowledge of the Black-Scholes model for European options.
- Calculate the Greeks.
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Contacts
| Course organiser | Dr Ilya Chevyrev
Tel:
Email: |
Course secretary | Mrs Alison Fairgrieve
Tel: (0131 6)50 5045
Email: |
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