MA313 Half Unit
Probability for Finance
This information is for the 2015/16 session.
Teacher responsible
Dr Andrew Lewis-Pye
Availability
This course is available on the BSc in Business Mathematics and Statistics, BSc in Mathematics and Economics, BSc in Mathematics with Economics and BSc in Statistics with Finance. This course is available as an outside option to students on other programmes where regulations permit. This course is available with permission to General Course students.
Pre-requisites
Students must have completed Real Analysis (MA203).
Experience obtained through other Mathematics and Statistics courses is highly desirable.
Course content
The purposes of this course are (i) to explain the formal basis of abstract probability theory, and the justification for basic results in the theory, and (ii) to explore those aspects of the theory most used in advanced analytical models in economics and finance. The approach taken will be formal. Probability spaces and probability measures. Random variables. Expectation and integration. Markov chains. Convergence of random variables. Conditional expectation and martingales, in the discrete case.
Teaching
20 hours of lectures and 10 hours of classes in the MT. 2 hours of lectures in the ST.
Formative coursework
Written answers to set problems will be expected on a weekly basis.
Indicative reading
Full lecture notes will be provided. The following may prove useful: J S Rosenthal, A First Look at Rigorous Probability Theory; G R Grimmett & D R Stirzaker, Probability and Random Processes; D Williams, Probability with Martingales. J Jacod & Ph Protter, Probability Essentials; A Klenke Probability Theory. A Comprehensive Course.
Assessment
Exam (100%, duration: 2 hours) in the main exam period.
Key facts
Department: Mathematics
Total students 2014/15: 17
Average class size 2014/15: 8
Capped 2014/15: No
Value: Half Unit
PDAM skills
- Self-management
- Problem solving
- Application of information skills
- Communication
- Application of numeracy skills
- Specialist skills
Course survey results
(2012/13 - 2014/15 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 90%
Question |
Average | ||||||
---|---|---|---|---|---|---|---|
Reading list (Q2.1) |
2.1 | ||||||
Materials (Q2.3) |
2 | ||||||
Course satisfied (Q2.4) |
2.1 | ||||||
Lectures (Q2.5) |
2.2 | ||||||
Integration (Q2.6) |
1.7 | ||||||
Contact (Q2.7) |
2 | ||||||
Feedback (Q2.8) |
2.1 | ||||||
Recommend (Q2.9) |
|