Module Directory

 

Module Description

 
 
Module Name
Module Code
Lecture Hrs
Practical Hrs
Credits
Stochastic Calculus
MATH6004(1)
3
0
3

Description
Probability Theory and Conditional Expectations. Brownian Motion and The Martingale Property. Ito's Integral and the Ito-Doeblin Formula. Risk Neutrality and the Girsanov's Theorem. Stochastic Differential Equations. Applications to Option Pricing and Term Structure Models.
Faculty Department
FACULTY OF SCIENCE Department of Mathematics
Contact Details
Administrative assistant: RAINA FERHANA HOSSENBUX
Telephone: 4037400
Email: r.hossenbux@uom.ac.mu
 

 

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