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.
- First semester 2019 (On-campus)
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.
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.
Examination (3 hours): 60% (Hurdle)
Continuous assessment: 40%
Hurdle requirement: To pass this unit a student must achieve at least 50% overall and at least 40% for the end-of-semester exam.
Two 1.5 -hour lectures and one 1-hour applied class per week
See also Unit timetable information