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) AND
Metric Spaces (MATH10101)
||Other requirements|| A pass in Honours Analysis (MATH10068) in 2020-21 or earlier is an acceptable substitute for a pass in Metric Spaces (MATH10101)
Information for Visiting Students
|High Demand Course?
Course Delivery Information
|Academic year 2023/24, 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|
On completion of this course, the student will be able to:
- Understand the notion of probability measure and space.
- Demonstrate familiarity with stochastic calculus, conditional expectation and martingales.
- Demonstrate knowledge of the binomial tree technique applied in option pricing.
- Demonstrate knowledge of the Black-Scholes model for European options.
- Calculate the Greeks.
|Course organiser||Mr Leonardo Tolomeo
|Course secretary||Mrs Alison Fairgrieve
Tel: (0131 6)50 5045