6 points, SCA Band 2, 0.125 EFTSL
Postgraduate - Unit
Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.
School of Mathematical Sciences
- First semester 2017 (Day)
Doob's convergence theorem. Optional sampling theorem. Discrete Stochastic integral. Martingale inequalities such as Doob and Burkholder-Davis-Gundy inequalities. Bucy-Kalman filter. Applications to finance. Option pricing - discrete Black-Scholes formula. Control theory.
On completion of this unit students will be able to:
- Develop specialised mathematical knowledge and skills within the theory of martingales.
- Apply sophisticated stochastic modelling skills within a variety of contexts, from population biology to finance to management science, and more.
- Apply critical thinking to problems in discrete-time stochastic processes in general, and in the theory of discrete-time martingales in particular.
- Formulate expert solutions to practical financial, engineering or scientific problems using specialised cognitive and technical skills within the theory of discrete-time martingales.
Weekly homework: 15% + Assignments: 15% + Examination: 70%
Two 1.5 -hour lectures and one 1-hour tutorial per week
See also Unit timetable information
MTH3241 (or equivalent)
Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.