Postgraduate Course: Stochastic Analysis in Finance II (MATH11077)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Not available to visiting students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 7.5 |
| Home subject area | Mathematics |
Other subject area | Financial Mathematics |
| Course website |
http://student.maths.ed.ac.uk |
Taught in Gaelic? | No |
| Course description | This course aims to provide a good and rigorous understanding of the mathematics used in derivative pricing and to enable students to understand where the assumptions in the models break down. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Course Delivery Information
|
| Delivery period: 2012/13 Semester 2, Not available to visiting students (SS1)
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WebCT enabled: Yes |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| King's Buildings | Lecture | 6206, JCMB | 1-11 | | 14:00 - 14:50 | | | | | King's Buildings | Lecture | 6206, JCMB | 1-11 | | | | | 11:10 - 13:00 |
| First Class |
First class information not currently available |
| Exam Information |
| Exam Diet |
Paper Name |
Hours:Minutes |
|
|
| Main Exam Diet S2 (April/May) | | 3:00 | | |
Summary of Intended Learning Outcomes
- be able to apply the theory of stochastic calculus to problems involving vanilla options
- understand the martingale representation theorem and its role in financial applications
- be able to apply the theory of stochastic calculus to problems involving exotic options
- conceptual understanding of the role of martingales in the theory of derivative pricing
- conceptual understanding of the role of equivalent martingale measures in financial mathematics
- conceptual understanding of the stochastic Ito integral and the connection to self-financing strategies |
Assessment Information
| Examination - 100% |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | SAF II |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: |
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