- Lecturer
- Professor F.C. Klebaner, Monash, Semester 2.
- Syllabus
- Financial derivatives and Pricing by no-arbitrage, Martingales
and Brownian motion, Stochastic Calculus based on Brownian motion,
Stochastic Differential Equations and Diffusions, Black-Scholes model,
Girsanov's Theorem, Semimartingales and Stochastic Calculus, A general
market model, Stochastic Interest rates models.
- Prerequisites
- Probability at second year level. A working knowledge of
calculus.
Financial Mathematics.
Generic
skills
- References
References
- Stampfli, J. and Goodman, V. (2001) The Mathematics of Finance: Modeling and Hedging,
Brooks/Cole.
- Klebaner, F. (1998) Introduction to Stochastic Calculus with Applications ,
Imperial College Press.
Back to list of elective components
Last updated: 30 October 2002.