MA5618 - Stochastic Analysis in Finance | ||||||||
| ||||||||
| * The offering term is subject to change without prior notice | ||||||||
Course Aims | ||||||||
This course aims to introduce concepts and techniques in advanced probability theory and discrete time stochastic processes, as well as their applications to the real-world financial models and risk analysis. It introduces some fundamental concepts in Markov process, Martingales, Change of measure, and provides a needed preparation for its subsequent course âAdvanced Stochastic Analysis in Financeâ. | ||||||||
Assessment (Indicative only, please check the detailed course information) | ||||||||
Continuous Assessment: 30% | ||||||||
Examination: 70% | ||||||||
For a student to pass the course, at least 30% of the maximum mark for the examination must be obtained. | ||||||||
Examination Duration: 3 hours | ||||||||
Detailed Course Information | ||||||||
| MA5618.pdf | ||||||||
