35365 Stochastic Calculus in Finance6cp
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.
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.
Autumn session, City campus
Detailed subject description.