Credit Points 10

Legacy Code 301380

Coordinator Rehez Ahlip Opens in new window

Description 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.

School Computer, Data & Math Sciences

Discipline Mathematics

Student Contribution Band HECS Band 1 10cp

Check your HECS Band contribution amount via the Fees page.

Level Undergraduate Level 3 subject

Pre-requisite(s) MATH 1014 AND
MATH 1015 AND
MATH 2010 AND
MATH 2003

Assumed Knowledge

Calculus, Riemann integration, QR factorisation and generalised inverses of matrices, first and second order differential equations.

• P. Willmott, S. Howison, J. Dewynne: The Mathematics of Financial Derivatives ? A Student Introduction. Cambridge University Press, 1995.