MTH5220 - The theory of martingales in discrete time - 2017

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.



Organisational Unit

School of Mathematical Sciences


Dr Greg Markowsky

Unit guides



  • 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:

  1. Develop specialised mathematical knowledge and skills within the theory of martingales.
  2. Apply sophisticated stochastic modelling skills within a variety of contexts, from population biology to finance to management science, and more.
  3. Apply critical thinking to problems in discrete-time stochastic processes in general, and in the theory of discrete-time martingales in particular.
  4. 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%

Workload requirements

Two 1.5 -hour lectures and one 1-hour tutorial per week

See also Unit timetable information

Chief examiner(s)


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.