MA313 Half Unit
Probability for Finance
This information is for the 2016/17 session.
Teacher responsible
Prof Graham Brightwell
Availability
This course is available on the BSc in Actuarial Science, 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.
Prerequisites
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 2015/16: 21
Average class size 2015/16: 10
Capped 2015/16: No
Value: Half Unit
PDAM skills
 Selfmanagement
 Problem solving
 Application of information skills
 Communication
 Application of numeracy skills
 Specialist skills
Course survey results
(2013/14  2015/16 combined)
1 = "best" score, 5 = "worst" scoreThe scores below are average responses.
Response rate: 95%
Question 
Average  

Reading list (Q2.1) 
2.1  
Materials (Q2.3) 
2.1  
Course satisfied (Q2.4) 
2.1  
Lectures (Q2.5) 
2.3  
Integration (Q2.6) 
1.8  
Contact (Q2.7) 
2.1  
Feedback (Q2.8) 
2.2  
Recommend (Q2.9) 
