Postgraduate Course: Stochastic Analysis in Finance I (MATH11076)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Not available to visiting students |
Credit level (Normal year taken) |
SCQF Level 11 (Postgraduate) |
Credits |
7.5 |
Home subject area |
Mathematics |
Other subject area |
Financial Mathematics |
Course website |
None
|
Taught in Gaelic? |
No |
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 |
|
Co-requisites |
|
Prohibited Combinations |
|
Other requirements |
None
|
Additional Costs |
None |
Course Delivery Information
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Delivery period: 2010/11 Semester 1, Not available to visiting students (SS1)
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WebCT enabled: Yes |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
King's Buildings | Lecture | | 1-11 | 14:00 - 15:50 | | | | | King's Buildings | Lecture | | 1-11 | | | | 14:00 - 15:50 | |
First Class |
Week 1, Monday, 14:00 - 14:50, Zone: King's Buildings. JCMB, Lecture Theatre A |
Exam Information |
Exam Diet |
Paper Name |
Hours:Minutes |
Stationery Requirements |
Comments |
Main Exam Diet S2 (April/May) | | 3:00 | 16 sides | Fixed date. Joint with H-W c/w P03523 and P03005 |
Summary of Intended Learning Outcomes
- be able to demonstrate an understanding of continuous time stochastic processes
- know the main results and basic applications of stochastic Ito calculus
- be able to understanding stochastic differential equations (SDE's)
- be able to understanding equivalent measures and in particular Girsanov's theorem
- conceptual understanding of martingales in continuous time.
- conceptual understanding of the stochastic Ito integral and It's formula. |
Assessment Information
Examination - 100% |
Special Arrangements
None |
Additional Information
Academic description |
Not entered |
Syllabus |
Not entered |
Transferable skills |
Not entered |
Reading list |
Not entered |
Study Abroad |
Not entered |
Study Pattern |
Not entered |
Keywords |
Not entered |
Contacts
Course organiser |
Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary |
Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
|
copyright 2011 The University of Edinburgh -
13 January 2011 6:21 am
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