Key information
- Faculty
- Faculty of Mathematical and Physical Sciences
- Teaching department
- Mathematics
- Credit value
- 15
- Restrictions
-
N/A
- Timetable
-
Alternative credit options
There are no alternative credit options available for this module.
This is a 30-hour introductory course on stochastic calculus for continuous semimartingales with applications to continuous-time finance. Some fundamental concepts of mathematical finance will first be treated in discrete time and on a finite probability space, to avoid subtle issues typical of the general setting.
Module deliveries for 2024/25 academic year
Intended teaching term:
Term 2 ÌýÌýÌý
Postgraduate (FHEQ Level 7)
Teaching and assessment
- Mode of study
- In person
- Methods of assessment
-
50%
Coursework
50%
Viva or oral presentation
- Mark scheme
-
Numeric Marks
Other information
- Number of students on module in previous year
-
6
- Module leader
-
Dr Carlo Marinelli
- Who to contact for more information
- maths.mscteaching@ucl.ac.uk
Last updated
This module description was last updated on 19th August 2024.
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