School Of Computer, Data And Mathematical SciencesFinancial MathematicsWestern Sydney University Unit Code: 301380.1
Discipline: MATHEMATICS
Student Contribution Band: 1
Level: 3
Credit Points: 10
Assumed Knowledge
Calculus, Riemann integration, QR factorisation and generalised inverses of matrices, first and second order differential equations.
Prerequisite
300672 Mathematics 1A AND 300673 Mathematics 1B AND 200027 Linear Algebra AND 200030 Differential Equations
About this Unit
This unit is an introduction to stochastic calculus and relevant simulation techniques applied to modern finance and the mathematical modelling of financial markets. The core topics developed in the unit are the Ito stochastic integral, Ito’s formula, and basic stochastic differential equations, as well as computer simulation techniques with emphasis on Monte Carlo simulations. Some mathematical background is assumed, but the unit will cover any necessary material that is not contained in prerequisites units.
Courses| 3778.1 | Bachelor of Mathematics | CURRENT |
Specialisations