Stochastic Models in Finance

Cod y Modiwl
MA37810
Teitl y Modiwl
Stochastic Models in Finance
Blwyddyn Academaidd
2027/2028
Semester
Semester 1
Cyd-gysylltydd y Modiwl
Dr Kim Kenobi
Rhestr Ddarllen
Gweld ar Aspire
Rhagofynion
MA26620
Staff Eraill sy'n Cyfrannu
Dr Kim Kenobi
Dr Gwion Evans

Dulliau Asesu

Math o Asesiad

Manylion Asesiad

Cyfran
Asesiad Semester Coursework: Problem sheets. 20%
Arholiad Semester Semester Exam: 2 Awr (Written Examination) 80%
Asesiad Ailsefyll Coursework: Supplementary problem sheet. 20%
Arholiad Ailsefyll Supplementary Exam: 2 Awr (Written Examination) 80%

Canlyniadau Dysgu

Wedi cwblhau'r modiwl dylai'r myfyrwyr fedru:

  1. Set up mathematical models for modeling random systems over time (stochastic process modeling).
  2. Apply probability and stochastic process theory to model financial models
  3. Analyse and synthesise mathematical models of financial markets.

Disgrifiad cryno

Stochastic Modelling of financial markets.

Nod

The module builds on probability and stochastic processes to introduce continuous time stochastic processes aimed at modelling the stock exchange. We aim to derive the Black-Scholes model of arbitrage option pricing.

Cynnwys

Introduction
Stock/Bonds
Arbitrage Pricing
Cox-Ross-Rubenstein Model
Binomial branch/tree models
Binomial Representation theorem
Continuous Processes
The Wiener Process
Black-Scholes Model
Portfolios/Strategies
The Black-Scholes model
Further Topics

Sgiliau Modiwl

Math o Sgiliau

Manylion Sgiliau
Cyfathrebu Students will be expected to submit written worksheet solutions.
Datblygu personol a chynllunio gyrfa Students will be exposed to an area of application that they have not previously encountered.
Datrys Problemau All situations considered are problem-based to a greater or lesser degree.
Gwaith Tim N/A
Gwella dysgu a pherfformiad ei hun Feedback via tutorials
Rhifedd throughout the module.
Sgiliau pwnc penodol using probabilistic and stochastic techniques in financial modeling.
Sgiliau ymchwil Students will be encouraged to consult various books and journals for examples of application.
Technoleg Gwybodaeth Indicative use of computational modeling stochastic processes.

Nodau

Mae'r modiwl hwn yn cydymffurfio a FfCChC Lefel 6