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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2011/2012
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Stochastic Analysis in Finance I (MATH11076)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityNot available to visiting students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits7.5
Home subject areaMathematics Other subject areaFinancial Mathematics
Course website None Taught in Gaelic?No
Course descriptionThis 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 (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements None
Additional Costs None
Course Delivery Information
Delivery period: 2011/12 Semester 1, Not available to visiting students (SS1) WebCT enabled:  Yes Quota:  None
Location Activity Description Weeks Monday Tuesday Wednesday Thursday Friday
King's BuildingsLectureSwann Main Lecture Theatre6-11 14:00 - 15:50
King's BuildingsLectureTh C, JCMB6-11 14:00 - 15:50
First Class Week 6, Monday, 14:00 - 15:50, Zone: King's Buildings. Swann Main Lecture Theatre
Exam Information
Exam Diet Paper Name Hours:Minutes
Main Exam Diet S2 (April/May)3:00
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
KeywordsSAF I
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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© Copyright 2011 The University of Edinburgh - 16 January 2012 6:25 am