37007 Probability Theory and Stochastic Analysis8cp; 3hpw (lecture/workshop, online), plus independent online learning
Requisite(s): 24 credit points of completed study in spk(s): STM91543 Core Subjects (Mathematics)
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 25875 Probability Theory and Stochastic Analysis
Stochastic modelling in financial applications relies on advanced techniques from probability theory and stochastic analysis that are used extensively for derivative pricing and hedging, interest rate modelling, and risk management. This subject introduces students to a number of fundamental concepts and results required in financial applications. Due to diversity in students’ skills, students start from basic concepts and gradually move to advanced methodologies. This subject is illustrated by applications of modern (script-based) languages R and Julia to modelling and simulations of random dynamics. Responding to an increasing need from the industry, students are encouraged to use these languages by solving a number of programing exercises during their mid-term assessment.
Detailed subject description.