35365 Stochastic Calculus in Finance

6cp
Requisite(s): 35364 Statistics for Quantitative Finance
These requisites may not apply to students in certain courses.
There are course requisites for this subject. See access conditions.

Description

The aim of this subject is to present and deepen the various mathematical concepts, techniques and intuition necessary for modern financial modelling, derivative pricing, portfolio optimisation and risk management. It provides the foundations for a sufficiently rigorous mathematical treatment of these topics. It also enables students to confidently apply the theory of stochastic processes and stochastic calculus.

Typical availability

Autumn session, City campus

Detailed subject description.

Access conditions

Note: The requisite information presented in this subject description covers only academic requisites. Full details of all enforced rules, covering both academic and admission requisites, are available at access conditions and My Student Admin.