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Introduction to Stochastic Analysis - MATH5975
 Students studying

   
   
   
 
Campus: Kensington Campus
 
 
Career: Postgraduate
 
 
Units of Credit: 6
 
 
EFTSL: 0.12500 (more info)
 
 
Indicative Contact Hours per Week: 3
 
 
Fee Band: 5 (more info)
 
 
Further Information: See Class Timetable
 
  

Description

Modern theory of financial markets relies on advanced mathematical statistical methods that are used to model, forecast and manage risk in complex financial transactions. After publication in 1973 of the ground-breaking paper of Black and Scholes on the arbitrage pricing of European call options, Stochastic Analysis became an indispensible tool for the theory of financial markets, derivation of prices of standard and exotic options and other derivative securities, hedging related financial risk, as well as managing the interest rate risk. In this course, you will learn the basic concepts and techniques of Stochastic Analysis, such as: Brownian motion, Ito stochastic integral, Ito’s formula, changes of measures, stochastic differential equations and their relations to second order partial differential equations, and Feynman-Kac formula.

Pre-requisites: 24 units of level III mathematics or a degree in a numerate discipline or permission of the Head of Department.

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© The University of New South Wales (CRICOS Provider No.: 00098G), 2004-2011. The information contained in this Handbook is indicative only. While every effort is made to keep this information up-to-date, the University reserves the right to discontinue or vary arrangements, programs and courses at any time without notice and at its discretion. While the University will try to avoid or minimise any inconvenience, changes may also be made to programs, courses and staff after enrolment. The University may also set limits on the number of students in a course.