Undergraduate Course: Probability, Measure & Finance (MATH10024)
Course Outline
| 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 |
| SCQF Credits | 20 |
ECTS Credits | 10 |
| 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.
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| Course description |
Not entered
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
Students MUST have passed:
Honours Analysis (MATH10068)
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
Information for Visiting Students
| Pre-requisites | This is a Year 3, Honours level course. Visiting students are expected to have an academic profile equivalent to the first two years of the BSc (Hons) Mathematics programme (UTMATHB). Students should have passed courses equivalent to Honours Analysis (MATH10068). |
| High Demand Course? |
Yes |
Course Delivery Information
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| Academic year 2025/26, Available to all students (SV1)
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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 )
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| Assessment (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
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| Additional Information (Assessment) |
Coursework 0%, Examination 100% |
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Minutes |
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| Main Exam Diet S2 (April/May) | Probability, Measure & Finance (MATH10024) | 180 | |
Learning Outcomes
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.
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Additional Information
| Graduate Attributes and Skills |
Not entered |
| Keywords | PMF |
Contacts
| Course organiser | Mr Leonardo Tolomeo
Tel:
Email: l.tolomeo@ed.ac.uk |
Course secretary | Mrs Alison Fairgrieve
Tel: (0131 6)50 5045
Email: Alison.Fairgrieve@ed.ac.uk |
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