- Dr Theodore Kypraios (Associate Professor - University of Nottingham)
|Delivery Type||Delivery length / details|
|Lecture||22 x 1 Hour Lectures|
|Assessment Type||Assessment length / details||Proportion|
|Semester Exam||2 Hours Written examination CONVENTIONAL EXAMINATION||70%|
|Supplementary Exam||2 Hours CONVENTIONAL EXAMINATION||100%|
On successful completion of this module students should be able to:
Set up mathematical models for modeling random systems over time (stochastic process modeling).
Use the formalism of Ito's stochastic calculus to manipulate and solve stochastic differential equations.
Apply probability and stochastic process theory to model financial models
Analyse and synthesise mathematical models of financial marks.
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.
Binomial branch/tree models
Binomial Representation theorem
The Wiener Process
The Black-Scholes model
|Skills Type||Skills details|
|Application of Number||throughout the module.|
|Communication||Students will be expected to submit written worksheet solutions.|
|Improving own Learning and Performance||Feedback via tutorials|
|Information Technology||Indicative use of computational modeling stochastic processes.|
|Personal Development and Career planning||Students will be exposed to an area of application that they have not previously encountered.|
|Problem solving||All situations considered are problem-based to a greater or lesser degree.|
|Research skills||Students will be encouraged to consult various books and journals for examples of application.|
|Subject Specific Skills||using probabilistic and stochastic techniques in financial modeling.|
This module is at CQFW Level 6