STA5078Z - Stochastic Processes
15 credits at NQF level 9
Entry Requirements:
STA4029Z, Honours course in Advanced Probality Theory or at the discretion of the Head of Department.
Course Outline:
The course aims to cover advanced concepts in stochastic processes and stochastic calculus, together with some financial applications. Topics included in the course are as follows: Semimartingales, stochastic integration, Ito's formula, Feyman-Kac theorem, martingale representation, discrete trading, continuous trading.