Module code | WTW 764 |
Qualification | Postgraduate |
Faculty | Faculty of Natural and Agricultural Sciences |
Module content | Mathematical modelling of Random walk. Conditional expectation and Martingales. Brownian motion and other Lévy processes. Stochastic integration. Ito's Lemma. Stochastic differential equations. Application to finance. |
Module credits | 15.00 |
Programmes | |
Prerequisites | WTW 734 or WTW 735 |
Contact time | 2 lectures per week |
Language of tuition | Module is presented in English |
Department | Mathematics and Applied Mathematics |
Period of presentation | Semester 2 |
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