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Mathematical and computational finance 831


 
Modulekode WTW 831
Kwalifikasie Postgraduate
Fakulteit Faculty of Natural and Agricultural Sciences
Module-inhoud

*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.
Modulekrediete 0.00
Prerequisites Financial Engineering on honours level
Contact time 1 lecture per week
Language of tuition Module is presented in English
Department Mathematics and Applied Mathematics
Period of presentation Semester 1
Die inligting wat hier verskyn, is onderhewig aan verandering en kan na die publikasie van hierdie inligting gewysig word.. Die Algemene Regulasies (G Regulasies) is op alle fakulteite van die Universiteit van Pretoria van toepassing. Dit word vereis dat elke student volkome vertroud met hierdie regulasies sowel as met die inligting vervat in die Algemene Reëls sal wees. Onkunde betrefffende hierdie regulasies en reels sal nie as ‘n verskoning by oortreding daarvan aangebied kan word nie.

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