Fluctuations of stock and option prices, the extraction of signals from noisy records and the temporal variation in size of small populations are all grist for the mill of applied probability. This term applies to that body of the theory of probability and random processes which is motivated by phenomena such as the above and which gives insight into them. The core material covers Brownian motion and related processes, and their application to asset price modelling and the Black-Scholes option pricing formula. Other topics may include the application of probability and statistical notions to concepts of risk in the finance and insurance industries and risk/return trade-off. The required... -- Course Website
Instructor: Associate Professor Gopalan Nair
Prerequisites: STAT2225 Statistical Science or FINA2205 Quantitative Methods for Finance
