Stochastic Differential Equations with Applications to Finance
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Random variables, Brownian motion
Stochastic integration and differentiation
Stochastic differential equations
Applications in finance: stocks, bonds, interest rates, options
Students who successfully complete the paper should be able to:
solve 31 test problems on the moodle page
Linked to the following assessments:
The internal assessment/exam ratio (as stated in the University Calendar) is 100:0. There is no final exam. The final exam makes up 0% of the overall mark.
The internal assessment/exam ratio (as stated in the University Calendar) is 100:0 or 0:0, whichever is more favourable for the student. The final exam makes up either 0% or 0% of the overall mark.
Error: Assessment components must add up to 100%
At least one Assessment Component needs to be entered
|Component Description||Due Date||Time||Percentage of overall mark||Submission Method||Compulsory|
|2. final test||
Required and Recommended Readings*
D.J. Higham. An algorithmic introduction to numerical simulation of stochastic differential equations
A.J. Roberts. Elementary calculus of financial mathematics
U.F. Wiersema. Brownian motion calculus
P. Wilmott, S. Howison, J. Dewynne. The mathematics of financial derivatives
Linkages to Other Papers*
Prerequisite papers: MATH311 or MATHS301
Restricted papers: MATH517