Course finder
Full Year
Probability, Measure & Finance (MATH10024)
Course Website
https://info.maths.ed.ac.uk/teaching.html
Subject
Mathematics
College
SCE
Credits
20
Normal Year Taken
4
Delivery Session Year
2023/2024
Pre-requisites
Course Summary
Course for final year students in Honours programmes in Mathematics. Sigma-algebras and Borel sets. Measurable functions. Lebesgue measure and integral. Probability measure. Random variables. Distributions and distribution functions. Conditional expectation. Stochastic Processes. Martingales. Binomial Trees. Risk-neutral valuation. Cox-Ross-Rubinstein model. Stopping times. Brownian motion. Stochastic integral. Stochastic differential equations. Ito's lemma. Girsanov's theorem. Black & Scholes option pricing formula. Implied volatility. The Greeks.
Course Description
Assessment Information
Written Exam 95%, Coursework 5%, Practical Exam 0%
Additional Assessment Information
Coursework 5%, Examination 95%
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