Foundations of Mathematical Modelling in Finance

Module code: MTH771P

Credits: 15.0
Semester: SEM1

Contact: Dr Michael Phillips

This module gives students a basis in probability theory needed for modelling asset price dynamics. You will start with a brief review of basic probability theory and then you will be introduced to stochastic processes that underlie many models in finance, such as random walks, Brownian motion, geometric Brownian motion, and Poisson process. You will also get an overview of Ito stochastic calculus and its applications to finance. By the end of this introductory course, you will have achieved a sufficient level of competence in mathematical methods to facilitate further studies in Mathematical Finance.

Connected course(s): UDF DATA
Assessment: 100.0% Examination
Level: 7