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  3. Stochastic Calculus with Applications

Stochastic Calculus with Applications (MAST90059)

Graduate courseworkPoints: 12.5Not available in 2018

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Year of offerNot available in 2018
Subject levelGraduate coursework
Subject codeMAST90059
FeesSubject EFTSL, Level, Discipline & Census Date

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: 11 January 2018