Introduction to Stochastic Calculus
Undergraduate
Undergraduate
MATH 3033
Undergraduate
No
106055
4.5
No
The 2025 timetable is
not yet available.
UniSA STEM
Course Alert: This course is no longer available for enrolment
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 | |
---|---|
Subject Area & Catalogue Number | Course Name |
MATH 2020 | Statistical Foundations |
Nil
Component | Duration | ||
---|---|---|---|
INTERNAL, CITY WEST | |||
Lecture | 3 hours x 13 weeks | ||
Tutorial | 1 hour x 12 weeks | ||
Directed Study (Meetings and activities as agreed with Course Coordinator) | N/A x 13 weeks |
Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.
Examination, Problem solving exercise
EFTSL*: 0.125
Commonwealth Supported program (Band 1)
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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.