 |
| VECTOR | [3-0-0:3] |
|---|---|
| PREVIOUS CODE | FTEC 6910D |
| DESCRIPTION | This is a graduate level course in stochastic calculus for MPhil/PhD students in Financial Technology and other related fields. This course aims to provide a rigorous mathematical introduction to the tools of stochastic calculus used in derivative pricing and financial modeling. Topics include Brownian motion, stopping times, stochastic integral, Itô’s formula, stochastic differential equations, martingales, Girsanov’s theorem, option pricing, etc. |
| Section | Date & Time | Room | Instructor | Quota | Enrol | Avail | Wait | Remarks |
|---|---|---|---|---|---|---|---|---|
| L01 (6190) | Tu 01:30PM - 04:20PM | Rm 101, W2 | WANG, Zhuoran ZHANG, Ying | 20 | 10 | 10 | 0 |
| PRE-REQUISITE | Score 120 or above in Gaokao Mathematics OR Level 5 or above in HKDSE Mathematics Extended Module M2 |
|---|---|
| EXCLUSION | UFUG 1102 |
| DESCRIPTION | This course is the first of a year-long sequence of two courses in one-variable calculus, intended for first year undergraduate students with strong mathematical background. Besides the understanding of foundational concepts and practical skills in applying calculus, the course put emphasis on rigorous reasoning of practical facts and the proof of certain mathematical theorems. Topics include approximation, continuity, limit, differentiation, high order approximations and differentiation, and applications to optimization, monotonicity, and convexity. |
| Section | Date & Time | Room | Instructor | Quota | Enrol | Avail | Wait | Remarks |
|---|---|---|---|---|---|---|---|---|
| L08 (6454) | MoWe 10:30AM - 11:50AM | Rm 201, E1 | ZHANG, Ying | 42 | 32 | 10 | 0 |