MA6629 - Advanced Stochastic Analysis in Finance | ||||||||
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| * 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 continuous time stochastic processes, as well as their applications to the real-world financial models in depth. It introduces measure-theoretic based stochastic calculus and builds up the connections with partial differential equations of Black-Scholes type. | ||||||||
Assessment (Indicative only, please check the detailed course information) | ||||||||
Continuous Assessment: 30% | ||||||||
Examination: 70% | ||||||||
Examination Duration: 3 hours | ||||||||
Detailed Course Information | ||||||||
| MA6629.pdf | ||||||||
Useful Links | ||||||||
| Department of Mathematics | ||||||||
