NQF credits: 30 at HEQSF level 9
Course convener: Professor DR Taylor
Course entry requirements: Acceptance into MPhil in Mathematical Finance.
This course develops the basic probabilistic concepts and methods in discrete- and continuous-time mathematical finance. This is accomplished through a combination of lectures and tutorials, in which candidates implement the techniques learned. The course will cover random walks, filtrations, martingales, Markov and stochastic processes, stochastic differential equations and the application of these to modelling financial markets and to the valuation of derivatives. The ultimate goal is to provide a strong background in probability and the theory of stochastic processes and to understand the pricing and hedging of financial derivatives.
DP requirements: None.
- Final examination 60%,
- Assignments and class test(s) 40%
Last updated : 13 Apr 2015