Mathematical Methods of Finance
Course category:
Masters
Module code:
MAT00020M
Year:
2011/12
Term:
Autumn
Credits:
20
Lecturer:
Professor Zdzislaw Brzezniak This module is not available to undergraduate students who have taken Stochastic Calculus. AimsThe topics covered are selected because of their importance in quantitative finance theory and practice. Probability theory and stochastic processes provide the language in which to express and solve mathematical problems in finance due to the inherent randomness of asset prices. The introduction of more advanced tools will be preceded by a brief review of basic probability theory with particular focus on conditional expectation. Then the module will proceed to present the theory of martingales and the study of three basic stochastic processes in finance: random walks, Brownian motion, and the Poisson process. An informal overview of Ito stochastic calculus will be given and first financial applications indicated. The material will be illustrated by numerous examples and computergenerated demonstrations. By the end of this module students are expected to achieve a sufficient level of competence in selected mathematical methods and techniques to facilitate further study of Mathematical Finance. Learning objectivesAt the end of the module you should be able to:
Syllabus
Recommended texts
Teaching
AssessmentCoursework (20%) and unseen written examination (80%). Please note that this module forms part of the MSc in Mathematical Finance; please see the relevant Handbook at Elective informationPlease check prerequisites carefully before asking to take this module as an elective. In choosing this module as an elective it will be assumed that you are familiar with all the material taught in the first year courses Calculus and Core Algebra, or are willing to learn the material if necessary. PrerequisitesPostrequisites


Department of Mathematics, University of York, Heslington, York, UK. YO10 5DD Legal Statements 
Contact Us 