Stochastic Calculus
Postgraduate
Postgraduate
MATH 5019
Postgraduate
No
013105
4.5
No
School of Information Technology and Mathematical Sciences
To introduce students to the fundamentals of stochastic calculus and its application to financial modelling.
Probability measure theory; stochastic processes; the Brownian motion and Diffusion Process Models; the Ito calculus; Ito's lemma; solution techniques; Jump-Diffusion Models; application to financial modelling; option pricing models under pure-diffusion and jump-diffusion, American style option pricing and interest rate modelling. Techniques and concepts such as change of numeraire, martingale representation and reflection principle will be covered.
Nil
Common to all relevant programs | |
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Subject Area & Catalogue Number | Course Name |
MATH 5040 | Statistical Foundations M |
Nil
Component | Duration | ||
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INTERNAL, CITY WEST | |||
Lecture | 3 hours x 13 weeks | ||
Tutorial | 1 hour x 12 weeks |
Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.
Assignment 1, Assignment 2, Final examination
EFTSL*: 0.125
Commonwealth Supported program (Band 2)
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* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.