MATH5975 is an honours and postgraduate mathematics course. See the course overview below.
Units of credit: 6
Cycle of offering: Term 1
Graduate attributes: The course will enhance your research, inquiry and analytical thinking abilities.
More information: The course outline (PDF) contains information about course objectives, assessment, course materials and the syllabus. The course outlines are made available closer to the commencement of term offering.
Important additional information as of 2023
The University requires all students to be aware of its policy on plagiarism.
For courses convened by the School of Mathematics and Statistics no assistance using generative AI software is allowed unless specifically referred to in the individual assessment tasks.
If its use is detected in the no assistance case, it will be regarded as serious academic misconduct and subject to the standard penalties, which may include 00FL, suspension and exclusion.
The online handbook entry contains up-to-date timetabling information.
If you are currently enrolled in MATH5975, you can log into UNSW Moodle for this course.
Modern theory of financial markets relies on advanced mathematical and statistical methods that are used to model, forecast and manage risk in complex financial transactions. Stochastic analysis is an indispensible tool for the theory of financial markets, derivation of prices of standard and exotic options and other derivative securities, hedging related financial risk, as well as managing the interest rate risk.
In this course, you will learn the basic and techniques of stochastic analysis, such as Brownian motion, martingales, Ito's stochastic integral, Ito's formula, stochastic differential equations, equivalent change of a probability measure, integral representations of martingales with respect to a Brownian filtration, relations to second-order partial differential equations, the Feynman-Kac formula, and jump processes.