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Stochastic calculus 764


 
Module code WTW 764
Qualification Postgraduate
Faculty Faculty of Natural and Agricultural Sciences
Module content

Mathematical modelling of Random walk. Conditional expectation and Martingales. Brownian motion and other Lévy processes. Stochastic integration. Ito's Lemma. Stochastic differential equations. Application to finance.
Module credits 15.00
NQF Level 08
Prerequisites WTW 734 or WTW 735
Contact time 2 lectures per week
Language of tuition Module is presented in English
Department Mathematics and Applied Mathematics
Period of presentation Semester 2
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