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MA5618 - Stochastic Analysis in Finance

Offering Academic Unit
Department of Mathematics
Credit Units
3
Course Duration
One Semester
Course Offering Term*:
Semester A 2024/25

* 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 “Advanced Stochastic Analysis in Finance”.


Assessment (Indicative only, please check the detailed course information)

Continuous Assessment: 30%
Examination: 70%
Examination Duration: 3 hours
 
Detailed Course Information

MA5618.pdf

Useful Links

Department of Mathematics