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Stochastic calculus and mathematical finance
MTH5210
Synopsis
Variations and quadratic variation of functions. Review of integration and probability. Brownian motion. Ito integrals and Ito's formula. Stochastic differential equations and diffusions. Calculation of expectations and PDE's, Feynman-Kac formula. Martingales and semimartingales. Change of probability measure and Girsanov theorem. Fundamental theorems of asset pricing. Change of numeraire. Application to options.
Sourced from the Monash Handbook 2026.
Quick facts
- Credit points
- 6
- Level
- 5
- Audience
- Postgraduate
- Type
- Coursework
- School
- Faculty of Science
- Faculty
- School of Mathematics
- Handbook year
- 2026
Prerequisites (2)
- Financial mathematicsMTH3251
- Statistics of stochastic processesMTH3260
What it unlocks
Nothing in the visible graph depends on this unit.
Offerings (1)
- First semesterClayton · ON-CAMPUS