MTH5220 The theory of martingales in discrete time
Faculty of Science
MTH5220 The theory of martingales in discrete time 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 1 other task
This is the 2023 handbook entry. See the 2027 entry.
Reviews
No reviews yetNo reviews yet. Be the first to review MTH5220.
Requisites
Before MTH5220
No prerequisites or corequisites besides the enrolment rules below.
After MTH5220
No unit lists MTH5220 as a prerequisite in the 2023 handbook.
Enrolment rules
COREQUISITE: You must be enrolled in the Master of Financial Mathematics to enrol in this unit. Exceptions can be made with permission from the unit ccoordinator.
PREREQUISITE: MTH3241 (or equivalent)
Overview
Doob's convergence theorem. Optional sampling theorem. Discrete Stochastic integral. Martingale inequalities such as Doob and Burkholder-Davis-Gundy inequalities. Bucy-Kalman filter. Applications to finance. Option pricing - discrete Black-Scholes formula. Control theory.
Offerings in 2023
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Assessment
- Continuous assessmentOther40%
- Examination (3 hours and 10 minutes)ExamThreshold hurdle60%
Learning outcomes
When you finish this unit, you should be able to:
- 1
Develop specialised mathematical knowledge and skills within the theory of martingales.
- 2
Apply sophisticated stochastic modelling skills within a variety of contexts, from population biology to finance to management science, and more.
- 3
Apply critical thinking to problems in discrete-time stochastic processes in general, and in the theory of discrete-time martingales in particular.
- 4
Formulate expert solutions to practical financial, engineering or scientific problems using specialised cognitive and technical skills within the theory of discrete-time martingales.
Workload and teaching
- Applied sessions11 hours
- Lectures36 hours
- Two 1.5-hour lectures;
- One 1-hour applied class (in weeks 2-12) and
- 8 hours of independent study per week.
Contacts
- Chief Examiners
- Associate Professor Andrea Collevecchio
- Unit Coordinators
- Associate Professor Andrea Collevecchio
Common questions
What are the prerequisites for MTH5220?
MTH5220 has no prerequisites, but enrolment rules apply.
When is MTH5220 offered?
In 2023, MTH5220 runs in Semester 1 at Clayton.
Does MTH5220 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.