Module Directory

 

Module Description

 
 
Module Name
Module Code
Lecture Hrs
Practical Hrs
Credits
Stochastic Processes and Stochastic Finance
STAT3016Y(5)
3
0
6

Description
Random variables and stochastic processes. Discrete time Markov chains (DTMC). Classification. Stationary distribution. Random walks. Simple applications of DTMC's. Counting processes and Poisson Processes. Non-homogeneous PP and Compound PP. Branching processes. A simple market model. Risk-Free Assets. Risky Assets. Discrete Time Market Models. Portfolio Management. Brownian Motion. Stochastic differential equations. Elementary Itô calculus. The Black Scholes model.
Faculty Department
FACULTY OF SOCIAL SCIENCES AND HUMANITIES Department of Economics and Statistics
Contact Details
Administrative assistant: DILMAHOMED BOCUS Bibi Swaleha
Telephone: 4037400
Email: s.dilmahomed@uom.ac.mu
 

 


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