MTH5210 Stochastic calculus and mathematical finance
Faculty of Science
MTH5210 Stochastic calculus and mathematical finance is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2023 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2023
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 3 other tasks
This is the 2023 handbook entry. See the 2027 entry.
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Requisites
Before MTH5210
No prerequisites or corequisites besides the enrolment rules below.
After MTH5210
No unit lists MTH5210 as a prerequisite in the 2023 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.
Overview
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.
Offerings in 2023
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Assessment
- HomeworkOther10%
- Two assignmentsAssignment20%
- Project10%
- Examination (3 hours and 10 minutes)Exam60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Develop specialised mathematical knowledge and skills within the field of stochastic calculus.
- 2
Understand the complex connections between financial and probabilistic concepts.
- 3
Apply sophisticated stochastic modelling skills within the context of financial markets.
- 4
Apply critical thinking to problems in stochastic calculus and financial mathematics.
- 5
Apply problem solving skills within the finance context.
- 6
Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the field of stochastic calculus.
- 7
Communicate complex information in an accessible format to a non-mathematical audience.
Workload and teaching
- Applied sessions11 hours
- Lectures36 hours
- Two 1.5-hour lectures;
- One 1-hour applied class (in weeks 2-12) and
- Eight hours of independent study per week.
Contacts
- Unit Coordinators
- Professor Fima Klebaner
- Chief Examiners
- Professor Fima Klebaner
Common questions
What are the prerequisites for MTH5210?
MTH5210 has no prerequisites, but enrolment rules apply.
When is MTH5210 offered?
In 2023, MTH5210 runs in Semester 1 at Clayton.
Does MTH5210 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 3 other tasks.