MATHS51723A (HAM)
Stochastic Differential Equations with Applications to Finance
15 Points
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Division of Health Engineering Computing & Science
School of Computing and Mathematical Sciences
Department of Mathematics and Statistics
Staff
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Convenor(s)
Yuri Litvinenko
8363
G.3.10
yuri.litvinenko@waikato.ac.nz

Administrator(s)
: maria.admiraal@waikato.ac.nz
Librarian(s)
: alistair.lamb@waikato.ac.nz
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What this paper is about
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The paper provides an informal introduction to stochastic calculus and its applications in finance. The following topics are covered.
Random variables, Brownian motion
Stochastic integration and differentiation
Stochastic differential equations
Applications in finance: stocks, bonds, interest rates, options
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How this paper will be taught
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2 lectures a week, plus a tutorial each week. Depending on the number of enrolled students, the paper may be offered as a reading course.
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Required Readings
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O. Calin. An introduction to stochastic calculus with applications to finance
D.J. Higham. An algorithmic introduction to numerical simulation of stochastic differential equations
Recommended Readings
C.W. Gardiner. Stochastic methods
A.J. Roberts. Elementary calculus of financial mathematics
U.F. Wiersema. Brownian motion calculus
P. Wilmott, S. Howison, J. Dewynne. The mathematics of financial derivatives
A.J. Roberts. Elementary calculus of financial mathematics
U.F. Wiersema. Brownian motion calculus
P. Wilmott, S. Howison, J. Dewynne. The mathematics of financial derivatives
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Learning Outcomes
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Students who successfully complete the course should be able to:
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Assessments
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How you will be assessed
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The paper is internally assessed using several assignments worth a total of 40% and a compulsory final twohour test worth 60% of the final grade. Assignments are to be submitted to the lecturer. All assignments and notices about this paper will be posted on moodle.
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The internal assessment/exam ratio (as stated in the University Calendar) is 100:0. There is no final exam.
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