Course

Introduction to Stochastic Analysis - MATH5975

Faculty: Faculty of Science

School: School of Mathematics and Statistics

Course Outline: http://www.maths.unsw.edu.au/

Campus: Sydney

Career: Postgraduate

Units of Credit: 6

EFTSL: 0.12500 (more info)

Indicative Contact Hours per Week: 3

CSS Contribution Charge: 2 (more info)

Tuition Fee: See Tuition Fee Schedule

Further Information: See Class Timetable

View course information for previous years.

Description

Modern theory of financial markets relies on advanced mathematical statistical methods that are used to model, forecast and manage risk in complex financial transactions. After publication in 1973 of the ground-breaking paper of Black and Scholes on the arbitrage pricing of European call options, Stochastic Analysis became an indispensible tool for the theory of financial markets, derivation of prices of standard and exotic options and other derivative securities, hedging related financial risk, as well as managing the interest rate risk. In this course, you will learn the basic concepts and techniques of Stochastic Analysis, such as: Brownian motion, Ito stochastic integral, Ito’s formula, changes of measures, stochastic differential equations and their relations to second order partial differential equations, and Feynman-Kac formula.

Pre-requisites: 24 units of level III mathematics or a degree in a numerate discipline or permission of the Head of Department.
Students studying

Study Levels

UNSW Quick Links