- Code MATH6115
- Unit Value 6 units
- Offered by Mathematical Sciences Institute
- ANU College ANU Joint Colleges of Science
- Course subject Mathematics
- Areas of interest Mathematics, Theoretical Physics
- Academic career PGRD
- Dr Pierre Portal
- Mode of delivery In Person
- Co-taught Course
Second Semester 2021
See Future Offerings
This course has been adjusted for remote participation in Sem 2 2021, however students are encouraged to attend on-campus activities if possible.
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.
Upon successful completion, students will have the knowledge and skills to:
- Demonstrate a deep understanding of the core mathematical tools and fundamental concepts of modern financial mathematics;
- Use stochastic calculus efficiently in mathematical and financial problems, including option pricing;
- Demonstrate strong capabilities for advanced mathematical reasoning, analysis and modeling linked to the theory of stochastic processes.
- Assignments (25) [LO 1,2,3]
- Mid-Semester Examination (25) [LO 1,2,3]
- Oral presentation (25) [LO 1,2,3]
- Research project (25) [LO 1,2,3]
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WorkloadThree lectures per week and regular workshops
To be determined
Requisite and Incompatibility
You will need to contact the Mathematical Sciences Institute to request a permission code to enrol in this course.
Prescribed TextsStochastic Calculus and Financial Applicationsby J. Michael Steele. Course notes will also be available to students.
Assumed KnowledgeMeasure theory. Basic concepts and results in probability.
Tuition fees are for the academic year indicated at the top of the page.
Commonwealth Support (CSP) Students
If you 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). More information about your student contribution amount for each course at Fees.
- Student Contribution Band:
- Unit value:
- 6 units
If you are a domestic graduate coursework student with a Domestic Tuition Fee (DTF) place or international student you will be required to pay course tuition fees (see below). Course tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.
Where there is a unit range displayed for this course, not all unit options below may be available.
- Domestic fee paying students
- International fee paying students
Offerings, Dates and Class Summary Links
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Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.
|Class number||Class start date||Last day to enrol||Census date||Class end date||Mode Of Delivery||Class Summary|
|6248||26 Jul 2021||02 Aug 2021||14 Sep 2021||29 Oct 2021||In Person||View|