304235 (v.3) Stochastic Financial Modelling 503

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Area:	Department of Mathematics and Statistics
Contact Hours:	3.0
Credits:	25.0
Lecture:	3 x 1 Hours Weekly
Anti Requisite(s):	302374 (v.2) Stochastic Financial Modelling 403
Prerequisite(s):	302315 (v.2) Mathematical Statistics 202 or any previous version
Application and generalisation of linear statistical models. Characteristics of econometric data and securities returns data. Use of linear models in econometric prediction. Distributed lag models. Methods for time series data. Risk and return. Modernportfolio theory. Capital asset pricing model. Arbitrage Pricing Theory (multi-index) models. Option pricing. Binomial and Black Scholes models. Martingales and Stochastic differential equations.
Year Location Period Internal Area External Central External 2003 Bentley Campus Semester 1 Y