MATH5975 is a Honours and Postgraduate Coursework Mathematics course. See the course overview below.
Units of credit: 6
Cycle of offering: Yearly in Semester 1; Term 1 in Trimester.
Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities.
More information: This recent course handout (pdf) contains information about course objectives, assessment, course materials and the syllabus.
The Online Handbook entry contains up-to-date timetabling information.
If you are currently enrolled in MATH5975, you can log into UNSW Moodle for this course.
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.