Postgraduate Course: Stochastic Analysis in Finance II (MATH11077)
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 11 (Postgraduate) |
Credits |
7.5 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
http://student.maths.ed.ac.uk |
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Course description |
This course aims to provide a good and rigorous understanding of the mathematics used in derivative pricing and to enable students to understand where the assumptions in the models break down. |
Entry Requirements
Pre-requisites |
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Co-requisites |
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Prohibited Combinations |
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Other requirements |
None
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Additional Costs |
None |
Course Delivery Information
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Delivery period: 2010/11 Semester 2, Not available to visiting students (SS1)
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WebCT enabled: No |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
No Classes have been defined for this Course |
First Class |
First class information not currently available |
Summary of Intended Learning Outcomes
- be able to apply the theory of stochastic calculus to problems involving vanilla options
- understand the martingale representation theorem and its role in financial applications
- be able to apply the theory of stochastic calculus to problems involving exotic options
- conceptual understanding of the role of martingales in the theory of derivative pricing
- conceptual understanding of the role of equivalent martingale measures in financial mathematics
- conceptual understanding of the stochastic Ito integral and the connection to self-financing strategies |
Assessment Information
Examination - 100% |
Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 6:19 am
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