37363 Stochastic Processes and Financial Mathematics
6cp; 2hpw (lecture, online), 2hpw (PC lab/tutorial, on campus)Requisite(s): ( 37262 Mathematical Statistics OR (35252 Mathematical Statistics AND 35363 Stochastic Models))
These requisites may not apply to students in certain courses. See access conditions.
Anti-requisite(s): 35361 Stochastic Processes
Description
This subject introduces the mathematics of random processes which are used to describe and predict the behaviour of complex systems. Applications arise across a very wide range of disciplines, from finance and economics, to physics and biology. Topics include: Gaussian-Markov processes including Brownian motion; Markov chains, birth-death processes; Compound Poisson processes, Levy processes; Kalman filtering, elements of time series; diffusion processes and their application to ruin probabilities and financial modelling; Black-Scholes formula.
Typical availability
Spring semester, City campus
Detailed subject description.