Overview
MATH5975 is an honours and postgraduate mathematics course. See the聽course overview聽below.
Units of credit:听6
Cycle of offering:聽Term 1聽
Graduate attributes:聽The course will enhance your research, inquiry and analytical thinking abilities.
More information:聽The Course outline will be made available closer to the start of term - please visit this website: www.unsw.edu.au/course-outlines
Important additional information as of 2023
UNSW Plagiarism Policy
The University requires all students to be aware of its聽.
For courses convened by the聽School of Mathematics and Statistics no assistance using generative AI software is allowed unless specifically referred to in the individual assessment tasks.
If its use is detected in the no assistance case, it will be regarded as serious academic misconduct and subject to the standard penalties, which may include 00FL, suspension and exclusion.
罢丑别听聽contains up-to-date timetabling information.
If you are currently enrolled in MATH5975, you can log into聽聽for this course.
Course overview
Modern theory of financial markets relies on advanced mathematical and statistical methods that are used to model, forecast and manage risk in complex financial transactions. Stochastic analysis is an indispensible tool for the theory of financial markets, derivation of prices of standard and exotic options and other derivative securities, hedging related financial risk, as well as managing the interest rate risk.
In this course, you will learn the basic and techniques of stochastic analysis, such as Brownian motion, martingales, Ito's stochastic integral, Ito's formula, stochastic differential equations, equivalent change of a probability measure, integral representations of martingales with respect to a Brownian filtration, relations to second-order partial differential equations, the Feynman-Kac formula, and jump processes.