Stochastic Calculus with Applications (MAST90059)
Graduate courseworkPoints: 12.5On Campus (Parkville)
Overview
| Availability | Semester 1 |
|---|---|
| Fees | Look up fees |
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;
- Be able to apply the stochastic calculus to financial derivatives; and
- 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; and
- Time-management skills: the ability to meet regular deadlines while balancing competing commitments.
Last updated: 4 March 2025
Eligibility and requirements
Prerequisites
All of
| 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 |
Or equivalent
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: 4 March 2025
Assessment
| Description | Timing | Percentage |
|---|---|---|
Continuing assessment of up to 40 hours work, worth 20% of the mark, throughout the semester
| Throughout the teaching period | 20% |
A final examination
| During the examination period | 80% |
Additional details
The total amount of written work required for all assignments will not exceed 40 pages.
Last updated: 4 March 2025
Dates & times
- Semester 1
Coordinator Aihua Xia Mode of delivery On Campus (Parkville) Contact hours 36 hours comprising one 2-hour lecture per week and one 1-hour practice class per week. Total time commitment 170 hours Teaching period 3 March 2025 to 1 June 2025 Last self-enrol date 14 March 2025 Census date 31 March 2025 Last date to withdraw without fail 9 May 2025 Assessment period ends 27 June 2025 Semester 1 contact information
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Last updated: 4 March 2025
Further information
- Texts
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Commerce (Finance) Course Ph.D.- Engineering Course Master of Data Science Course Master of Science (Mathematics and Statistics) Course Doctor of Philosophy - Engineering Course Master of Philosophy - Engineering Informal specialisation Mathematics and Statistics - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 4 March 2025