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Stochastic Calculus with Applications (MAST90059)
Graduate courseworkPoints: 12.5Not available in 2024
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;
- 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: 31 January 2024
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: 31 January 2024
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: 31 January 2024
Dates & times
Not available in 2024
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: 31 January 2024
Further information
- Texts
Prescribed texts
None
Recommended texts and other resources
F. Klebaner. Introduction to stochastic calculus with applications, 2nd edn. Imperial College Press, London (2005)
- Related Handbook entries
This subject contributes to the following:
Type Name Course Master of Commerce (Finance) Course Doctor of Philosophy - Engineering Course Ph.D.- Engineering Course Master of Philosophy - Engineering Course Master of Data Science Course Master of Science (Mathematics and Statistics) 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.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
Last updated: 31 January 2024