| Area: | Department of Mathematics and Statistics |
| Credits: | 25.0 |
| Contact Hours: | 3.0 |
| Lecture: | 3 x 1 Hours Weekly |
| Anti Requisite(s): | 304235 (v.3) Stochastic Financial Modelling 503
|
| Prerequisite(s): | 302315 (v.2) Mathematical Statistics 202 or any previous version
|
| Syllabus: | Introduction to different areas of financial modeling. Financial Markets, Option pricing; Binomial and Black Scholes model. Portfolio models, Stochastic Integration theory; Change of measure, General stochastic calculus approach to discrete and continuous time finance. |
| |
| Unit Outcomes: | To introduce students to the application of linear statistical models in econometric prediction, portfolio management and option pricing. |
| Text and references listed above are for your information only and current as of September 30, 2003. Please check with the unit coordinator for up-to-date information. |
| Unit References: | Benjamin Czaczkes (2000) Financial modeling / Simon Benninga ; with a section on Visual Basic for Applications Cambridge, Mass. : MIT Press, 2nd ed. Damien Lamberton and Bernard Lapeyre (1996) Introduction to stochastic calculus applied to finance / by; translated London : Chapman & Hall. by John Y. Campbell, Andrew W. Lo, and A. Craig MacKinlay (1997) The econometrics of financial markets Princeton, N.J. : Princeton University Press. |
| Unit Texts: | T. Mikosch, (1998) Elementary Stochastic Calculus with Finance in View - Advanced series on Statistical Science and Applied Probability, Volume 6. |
| |
| Unit Assessment Breakdown: | Weekly Exercises 15%. Assignment (3) 30%. Final Exam 55%. This is by grade/mark assessment. |
| Year | Location | Period | Internal | Area External | Central External | | 2004 | Bentley Campus | Semester 1 | Y | | | |
