Mathematics
MA418: Differential Equations with Financial Derivatives (5 ECTS)
This course introduces the theory of Stochastic Differential Equations. Topics covered include Gaussian Processes, Brownian Motion, Martingales, Stochastic Integrals, Ito's Lemma's, Stochastic Differential Equations, Call and Put Options and the Black-Scholes model.
Taught in Semester(s) 2. Examined in Semester(s) 2.
Workload: 112 hours (24 Lecture hours, 4 Tutorial hours, 84 Self study hours).
Module Learning Outcomes.
On successful completion of this module the learner should be able to:
- Understand the fundamentals in Stochastic Processes, Brownian Motion, Stochasic Integrals and Stochastic Differential Equations.
- Solve problems associated with Brownian Motion and Martingales.
- Solve problems associated with Ito's Lemma's and Stochastic Differential Equations.
- Understand Call and Put Options and ideas associated with Finance and the Black-Scholes model.
Indicative Content
This course introduces the theory of Stochastic Differential Equations. The material covered includes Stochastic Processes, Brownian Motion, Martingales, Stochastic Integrals, Ito's Lemmas, Stochastic Differential Equations and Applications in Finance.
Module Resources
- Elementary Stochastic Calculus (with finance in view) by Thomas Mikosch, World Scientific.
Back