Postgraduate Course: Stochastic Analysis in Finance I (MATH11076)
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 |
None |
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
| Not being delivered |
Summary of Intended Learning Outcomes
- be able to demonstrate an understanding of continuous time stochastic processes
- know the main results and basic applications of stochastic Ito calculus
- be able to understanding stochastic differential equations (SDE's)
- be able to understanding equivalent measures and in particular Girsanov's theorem
- conceptual understanding of martingales in continuous time.
- conceptual understanding of the stochastic Ito integral and It's formula. |
Assessment Information
| Examination - 100% |
Special Arrangements
| MSc Financial Mathematics and MSc Financial Modelling and Optimization students only. |
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 I |
Contacts
| Course organiser | Prof Istvan Gyongy
Tel: (0131 6)50 5945
Email: |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: |
|
|
University Homepage