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MATH 3014 Financial Mathematics

MATH 3014  Financial Mathematics  (10 Credit Points)  
Subject Details  Legacy Code: 301380  

This subject is an introduction to stochastic calculus and relevant simulation techniques applied to modern finance and the mathematical modelling of financial markets. The core topics developed in the subject are the Ito stochastic integral, Ito's formula, and basic stochastic differential equations, as well as computer simulation techniques with emphasis on Monte Carlo simulations. Some mathematical background is assumed, but the subject will cover any necessary material that is not contained in prerequisites subjects.

Level: Undergraduate Level 3 subject  
Pre-requisite(s): MATH 1014 AND
MATH 1015 AND
MATH 2010 AND
MATH 2003
  
Restrictions: Please see the Subject Details page for any restrictions for this subject