MATH3003
Stochastic Processes and Applications 随机过程及其应用
Financial Mathematics · DST · Major Required Courses · 3 Units
Course Descriptions
This course provides students with basic stochastic processes such as discrete-time and continuous-time Markov chains and semi-martingales including Brownian motion, Poisson process and Levy process. The course introduces Ito’s formulas, martingale theory and its applications ， stochastic differential equations, and stochastic integral with respect to semi-martingales, and helps students know how to apply stochastic processes in option pricing.
Prerequisite
STAT2023 Advanced Probability
Workload
Workload not available
Modules
Modules not available
Overall Score
?/10
Quick Vote
Last updated: 5 years, 10 months ago
No record