Stochastic Calculus with Applications (MAST90059)

Graduate courseworkPoints: 12.5Not available in 2018

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Overview

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This subject provides an introduction to stochastic calculus and mathematics of financial derivatives. Stochastic calculus is essentially a theory of integration of a stochastic process with respect to another stochastic process, created for situations where conventional integration will not be possible. Apart from being an interesting and deep mathematical theory, stochastic calculus has been used with great success in numerous application areas, from engineering and control theory to mathematical biology, theory of cognition and financial mathematics.

Intended learning outcomes

After completing this subject students should:



  • gain an understanding of the basic knowledge of stochastic calculus;
  • gain the ability to apply the stochastic calculus to financial derivatives;
  • extend the probabilistic knowledge base and intuition to pursue further studies in stochastic processes and their applications.

Generic skills

In addition to learning specific skills that will assist students in their future careers in science, they will have the opportunity to develop generic skills that will assist them in any future career path. These include:

  • problem-solving skills: the ability to engage with unfamiliar problems and identify relevant solution strategies;
  • analytical skills: the ability to construct and express logical arguments and to work in abstract or general terms to increase the clarity and efficiency of analysis;
  • collaborative skills: the ability to work in a team;
  • time-management skills: the ability to meet regular deadlines while balancing competing commitments.

Last updated: 3 November 2022

Eligibility and requirements

Prerequisites

Both of the following, or equivalent.

Code Name Teaching period Credit Points
MAST30001 Stochastic Modelling
Semester 2 (On Campus - Parkville)
 12.5
MAST30020 Probability for Inference
Semester 1 (On Campus - Parkville)
 12.5

Corequisites

None

Non-allowed subjects

None

Inherent requirements (core participation requirements)

The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.

Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home

Last updated: 3 November 2022

Assessment

Additional details

The assessment is based on two assignments worth 10% each and a final 3-hour examination worth 80%. The total amount of written work required for all assignments will not exceed 40 pages.

Last updated: 3 November 2022

Dates & times

Not available in 2018

Time commitment details

170 hours

Last updated: 3 November 2022

Further information

Last updated: 3 November 2022