Foundations of Mathematical Modelling in Finance

Module code: MTH771U

Credits: 15.0
Semester: SEM1

Contact: Dr Michael Phillips

This module will provide you with an introduction to important concepts from probability theory and stochastic processes that are useful in modelling asset price dynamics. The introduction of more advanced tools will be preceded by a brief review of basic probability theory. Important stochastic processes that underlie many models in finance, such as random walks, Brownian motion, geometric Brownian motion, and the Poisson process, are discussed. An informal overview on Ito stochastic calculus and its application in finance will be given. By the end of this introductory course you will have achieved a sufficient level of competence of selected mathematical methods to facilitate further studies in Mathematical Finance.

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