• Offered by Mathematical Sciences Institute
• ANU College ANU Joint Colleges of Science
• Course subject Mathematics
• Areas of interest Mathematics, Theoretical Physics
• Course convener
• AsPr Pierre Portal
• Mode of delivery In Person
• Co-taught Course
• Offered in Second Semester 2020
Stochastic Analysis with Financial Applications (MATH6115)

All activities that form part of this course will be delivered remotely in Sem 2 2020.

This course gives a rigorous mathematical introduction to stochastic processes, stochastic differential equations, and their applications in finance. The first half of the course covers martingales, Poisson processes, Brownian motion, Ito integration, and stochastic differential equations driven by a Brownian motion. The second half of the course covers a range of more advanced topics to be selected by the students. This includes option pricing and investment optimisation, basics of Malliavin's stochastic calculus of variations, Black-Scholes formula and hedging, as well as aspects of the relationship between stochastic analysis and partial differential equations.

Stochastic Analysis with Financial Applications provides an accessible but mathematically rigorous introduction to financial mathematics and quantitative finance.

This course is co-taught with undergraduate students but assessed separately. Assessment will include a research project.

## Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

1. Demonstrate a deep understanding of the core mathematical tools and fundamental concepts of modern financial mathematics;
2. Use stochastic calculus efficiently in mathematical and financial problems, including option pricing;
3. Demonstrate strong capabilities for advanced mathematical reasoning, analysis and modeling linked to the theory of stochastic processes.

## Indicative Assessment

1. Assignments (25) [LO 1,2,3]
2. Mid-Semester Examination (25) [LO 1,2,3]
3. Oral presentation (25) [LO 1,2,3]
4. Research project (25) [LO 1,2,3]

In response to COVID-19: Please note that Semester 2 Class Summary information (available under the classes tab) is as up to date as possible. Changes to Class Summaries not captured by this publication will be available to enrolled students via Wattle.

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Three lectures per week and regular workshops

To be determined

## Requisite and Incompatibility

You are not able to enrol in this course if you have completed MATH3015

You will need to contact the Mathematical Sciences Institute to request a permission code to enrol in this course.

## Prescribed Texts

Stochastic Calculus and Financial Applicationsby J. Michael Steele.  Course notes will also be available to students.

## Assumed Knowledge

Measure theory. Basic concepts and results in probability.

## Fees

Tuition fees are for the academic year indicated at the top of the page.

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
2
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500

## Course fees

Domestic fee paying students
Year Fee
2020 \$4050
International fee paying students
Year Fee
2020 \$5760
Note: Please note that fee information is for current year only.

## Offerings, Dates and Class Summary Links

ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage.

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

### Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
8589 27 Jul 2020 03 Aug 2020 31 Aug 2020 30 Oct 2020 In Person View