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ST908: Probability & Stochastic Processes

Lecturer(s): Dr Martin Herdegen


  • This is a core module for the MSc in Financial Mathematics.
  • It is not available to undergraduate students.
  • PhD students interested in taking the module should consult the lecturer.


  • 3 hours of lectures + 1 exercise class per week. This module runs in Term 1.


  • Fundamental concepts of probability theory
  • Sequences of random variables and limit theorems
  • Conditional expectations, martingales, and Markov processes
  • Brownian motion and stochastic calculus


  • 2-hour exam in January (80%), class tests (20%).

Illustrative Bibliography:

  • A. Klenke: Probability theory: A comprehensive course, 2nd ed., Springer, 2014.
  • D. Williams: Probability with Martingales, Cambridge University Press, 1991.
  • J. Jacod and P. Protter: Probability Essentials, Springer, 2003.