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Mathematical and computational finance 831


 
Module code WTW 831
Qualification Postgraduate
Faculty Faculty of Natural and Agricultural Sciences
Module content

*Consult with the Head of the Department of Mathematics and Applied Mathematics about the availability of this master’s module in a particular year.
Stochastic Calculus: Multidimensional Itô formula, correlated Wiener processes, the infinitesimal operator, SDE's, PDE's, the Kolmogorov equations, martingales, stochastic integral representations and Gisanov's theorem. The martingale approach to arbitrage theory. Bonds and interest rates: Martingale models, standard models, the Heath-Jarrow-Morton framework. Monte Carlo methods. Finite difference methods.
Module credits 30.00
Prerequisites Financial Engineering on honours level
Contact time 1 lecture per week
Language of tuition English
Academic organisation Mathematics and Applied Maths
Period of presentation Semester 1
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