Module description
Syllabus
You will receive an introduction to elements of the following topics: Stochastic processes in continuous time, Brownian motion; Elements of continuous-time martingale theory; Ito calculus, elementary stochastic differential equations; Absence of arbitrage, forward prices; Asset pricing in continuous time; Geometric Brownian motion asset model; Option pricing in continuous time, Black-Scholes-Merton model, PDE methods; Introduction to continuous-time term structure models
Assessment details
One class test and a two hour written examination.
Educational aims & objectives
This module aims to introduce you to a number of topics in continuous-time mathematical finance theory, along with the associated probabilistic background. The approach will be applied and practical in character, while at the same time mathematically rigorous.
Teaching pattern
Two hours of lectures and one hour of tutorial per week throughout the term
Suggested reading list
Indicative reading list - link to Leganto system where you can search with module code for lists