THE UNIVERSITY of EDINBURGH

DEGREE REGULATIONS & PROGRAMMES OF STUDY 2020/2021

Information in the Degree Programme Tables may still be subject to change in response to Covid-19

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DRPS : Course Catalogue : School of Mathematics : Mathematics

Undergraduate Course: Probability, Measure & Finance (MATH10024)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Credit level (Normal year taken)SCQF Level 10 (Year 4 Undergraduate) AvailabilityAvailable to all students
SCQF Credits20 ECTS Credits10
SummaryCourse 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.

In academic year 2022-23 and later, MATH10101 Metric Spaces is a prerequisite for this course.
Course description Not entered
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Students MUST have passed: Financial Mathematics (MATH10003) AND Honours Analysis (MATH10068)
Co-requisites
Prohibited Combinations Other requirements None
Information for Visiting Students
Pre-requisitesNone
High Demand Course? Yes
Course Delivery Information
Academic year 2020/21, Available to all students (SV1) Quota:  None
Course Start Full Year
Timetable Timetable
Learning and Teaching activities (Further Info) Total Hours: 200 ( Lecture Hours 44, Seminar/Tutorial Hours 10, Summative Assessment Hours 3, Programme Level Learning and Teaching Hours 4, Directed Learning and Independent Learning Hours 139 )
Assessment (Further Info) Written Exam 95 %, Coursework 5 %, Practical Exam 0 %
Additional Information (Assessment) Coursework 5%, Examination 95%
Feedback Not entered
Exam Information
Exam Diet Paper Name Hours & Minutes
Main Exam Diet S2 (April/May)Probability, Measure & Finance (MATH10024) 3:00
Learning Outcomes
On completion of this course, the student will be able to:
  1. Understand the notion of probability measure and space.
  2. Demonstrate familiarity with stochastic calculus, conditional expectation and martingales.
  3. Demonstrate knowledge of the binomial tree technique applied in option pricing.
  4. Demonstrate knowledge of the Black-Scholes model for European options.
  5. Calculate the Greeks.
Reading List
None
Additional Information
Course URL https://info.maths.ed.ac.uk/teaching.html
Graduate Attributes and Skills Not entered
KeywordsPMF
Contacts
Course organiserDr Chak Hei Lo
Tel: (0131 6)50 5387
Email: C.Lo@ed.ac.uk
Course secretaryMrs Alison Fairgrieve
Tel: (0131 6)50 5045
Email: Alison.Fairgrieve@ed.ac.uk
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