Undergraduate Course: Probability, Measure & Finance (MATH10024)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 10 (Year 4 Undergraduate)
||Availability||Available to all students
|Summary||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 (not applicable to Visiting Students)
|| Students MUST have passed:
Financial Mathematics (MATH10003)
||Other requirements|| None
Information for Visiting Students
Course Delivery Information
|Academic year 2015/16, Available to all students (SV1)
|Learning and Teaching activities (Further Info)
Lecture Hours 44,
Seminar/Tutorial Hours 10,
Summative Assessment Hours 3,
Programme Level Learning and Teaching Hours 4,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Coursework 5%, Examination 95%
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Probability, Measure & Finance (MATH10024) ||3:00|
| 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.
|Course organiser||Dr Sotirios Sabanis
Tel: (0131 6)50 5084
|Course secretary||Mrs Alison Fairgrieve
Tel: (0131 6)50 5045
© Copyright 2015 The University of Edinburgh - 18 January 2016 4:24 am