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%).
- 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.
Resources for Current ST908 Students (restricted access)