## MA313Half UnitProbability for Finance

This information is for the 2017/18 session.

Teacher responsible

Dr Christoph Czichowsky

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.

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.

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

Oral examination (100%) in the ST.

Key facts

Department: Mathematics

Total students 2016/17: 22

Average class size 2016/17: 13

Capped 2016/17: No

Value: Half Unit

Guidelines for interpreting course guide information

PDAM skills

• Self-management
• Problem solving
• Application of information skills
• Communication
• Application of numeracy skills
• Specialist skills

Course survey results

(2014/15 - 2016/17 combined)

1 = "best" score, 5 = "worst" score

The scores below are average responses.

Response rate: 86%

Question

Average
response

1.9

Materials (Q2.3)

2.1

Course satisfied (Q2.4)

1.7

Lectures (Q2.5)

1.8

Integration (Q2.6)

1.5

Contact (Q2.7)

1.7

Feedback (Q2.8)

1.7

Recommend (Q2.9)

 Yes 62% Maybe 38% No 0%