UNSW Handbook Course - Stochastic Processes

Stochastic Processes - MATH5835


	Faculty: Faculty of Science
	School: School of Mathematics
	Campus: Kensington Campus
	Career: Postgraduate
	Units of Credit: 6
	Contact Hours per Week: 2
	Offered: To be advised
	Fee Band: 2

Description

Random Walk and Exponential Random Walk: interpretation in Mathematical Finance, martingales. Wiener Processs: calculation of functionals and distributions related to the Wiener process, reflection principle and barrier problem. Stochastic integration: Ito formula, calculations based on the Ito formula. Linear and bilinear stochastic differential equations: interpretation in Mathematical Finance, connections with partial differential equations, pricing of simple options. The Girsanov Theorem: linear barrier problem, examples of exotic options.

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