Undergraduate Course: Probability, Measure & Finance (MATH10024)
Course Outline
| School |
School of Mathematics |
College |
College of Science and Engineering |
| Course type |
Standard |
Availability |
Available to all students |
| Credit level (Normal year taken) |
SCQF Level 10 (Year 4 Undergraduate) |
Credits |
20 |
| Home subject area |
Mathematics |
Other subject area |
Specialist Mathematics & Statistics (Honours) |
| Course website |
http://student.maths.ed.ac.uk |
|
|
| Course description |
Course for final year students in Honours programmes in Mathematics.
Sigma-algebras and Borel sets. Measurable functions. Lebesgue measure and integral. Probability measure. Random variables. Distributions and distribution functions. Conditional expectation. Stochastic Processes. Martingales. Binomial Trees. Risk-neutral valuation. Cox-Ross-Rubinstein model. Stopping times. Brownian motion. Stochastic integral. Stochastic differential equations. Ito's lemma. Girsanov's theorem. Black & Scholes option pricing formula. Implied volatility. The Greeks. |
Entry Requirements
| Pre-requisites |
Students MUST have passed:
Financial Mathematics (MATH10003)
|
Co-requisites |
|
| Prohibited Combinations |
|
Other requirements |
None
|
| Additional Costs |
None |
Course Delivery Information
|
| Delivery period: 2010/11 Full Year, Available to all students (SV1)
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WebCT enabled: Yes |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| King's Buildings | Lecture | | 1-22 | | | | 10:00 - 10:50 | | | King's Buildings | Lecture | | 1-22 | 16:10 - 17:00 | | | | | | King's Buildings | Lecture | | 1-22 | 10:00 - 10:50 | | | | |
| First Class |
Week 1, Monday, 10:00 - 10:50, Zone: King's Buildings. JCMB, room 6301 |
| Additional information |
The above times are for Semester 1 only.
For Semester 2 lecture times are:
Mon & Thu 11:10-12:00 |
Summary of Intended Learning Outcomes
1. Understand the notion of probability measure and space.
2. Familiarity with conditional expectation and martingales.
3. Knowledge of the binomial tree technique applied in option pricing.
4. Familiarity with stochastic calculus.
5. Knowledge of the Black-Scholes model for European options.
6. Ability to calculate the Greeks.
|
Assessment Information
| Examination only. |
| Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
| Not entered |
Contacts
| Course organiser |
Dr Liam O'Carroll
Tel: (0131 6)50 5070
Email: L.O'Carroll@ed.ac.uk |
Course secretary |
Mrs Alison Fairgrieve
Tel: (0131 6)50 6427
Email: Alison.Fairgrieve@ed.ac.uk |
|
copyright 2010 The University of Edinburgh -
1 September 2010 6:18 am
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