20 Credits ACADEMIC YEAR

Cannot be taken with: MAS352
Pre-requisites: MAS113, MAS221, MAS223, MAS275


Aims/Description: A stochastic process is a mathematical model for phenomena unfolding dynamically and unpredictably over time. This module studies two classes of stochastic process particularly relevant to financial phenomena: martingales and diffusions. The module develops the properties of these processes and then explores their use in Finance. A key problem considered is that of the pricing of a financial derivative such as an option giving the right to buy or sell a stock at a particular price at a future time. What is such an option worth now? Martingales and stochastic integration are shown to give powerful solutions to such questions.

Staff Contact: FREEMAN NICHOLAS P
Teaching Methods: Lectures, Independent Study
Assessment: Formal Exam

Information on the department responsible for this unit (Mathematics and Statistics):

Departmental Home Page
Teaching timetable

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NOTE
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Teaching methods and assessment displayed on this page are indicative for 2021-22. Students will be informed by the academic department of any changes made necessary by the ongoing pandemic.

Western Bank, Sheffield, S10 2TN, UK