MATH3003

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