Financial Calculus (MATH7091)
Information valid for Semester 1, 2016
Course level
Postgraduate Coursework
Faculty
School
Mathematics & Physics School
Units
2
Duration
One Semester
Delivery mode
Internal
Class hours
3 Lecture hours
1 Tutorial hour
Incompatible
MATH4091 or MS479
Prerequisite
STAT7304
Restricted
Permission of Head of School
Assessment methods
Assignments and examinations
Course enquiries
Mr Godfrey Smith
Course description
Topics from financial calculus including financial derivatives & arbitrage, asset prices, price dynamics, continuous-time hedging, Brownian motion, Martingales, stochastic integration, solving stochastic differential equations & stochastic control.