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X3: MA3614

Mathematics for Finance: Mathematical Processes for Finance

NEWS

Jan 2007: the course will run in 3 stages. Stage 1: Prof Martin "Basics"; Stage 2: Prof Newby "Advanced"; Stage 3: (as last year): Mr Bower "Trading Practicalities".
Jan 2007: draft stage 1 lecture notes NOW AVAILABLE.
Please be sure to do all the exercises in the notes!
Jan 2007: stage 2 lecture notes, part 1 NOW AVAILABLE.
Jan 2007: stage 2 lecture notes, part 2 NOW AVAILABLE.
Jan 2007: stage 2 lecture notes, part 3 NOW AVAILABLE.
Jan 2007: stage 2 lecture notes, part 4 NOW AVAILABLE.
(For a large number of sets of helpful online notes check out the list towards the bottom of this.)
Jan 2007: stage 2 SLIDES, part 1 NOW AVAILABLE.
stage 2 SLIDES, part 2 NOW AVAILABLE.
stage 2 SLIDES, part 3 NOW AVAILABLE.
2005 and 2006 exam papers NOW AVAILABLE for reference. (Suggestion: Do not look at these closely until you are ready to use them as mock exams!)
Feb 2007: 2007 Coursework 1 NOW AVAILABLE. Solutions to be submitted (to General Office) no later than Thursday of week 9.
March 2007: stage 3 SLIDES NOW AVAILABLE. Andy Bower will lecture 10-12am on 15th and 22 March (NOTE: _NOT_ 9am start!).
March 2007: If you missed Mr Bower's first talk please try to look at the first few slides (lecture one in the Trading Global Markets pdf file above) prior to the second talk.
March 2007: 2006 exam paper Q1+Q2 solutions NOW AVAILABLE for reference. (Suggestion: Do not look at this closely until you have used the paper as a mock exam!)
March 2007 Coursework 2 here - or hard copy available from General Office.
May 2007 Coursework 1 Solutions here.
May 2007 Coursework 2 Solutions here.

NEWS (2006)

Jan 2006: the course will run in 3 stages. Stage 1: Prof Martin "Basics"; Stage 2: Prof Newby "Advanced"; Stage 3: Mr Bower "Trading Practicalities".
Jan 2006: draft stage 1 lecture notes NOW AVAILABLE.
Please be sure to do all the exercises in the notes!
Jan 2006: stage 2 lecture notes, part 1 NOW AVAILABLE.
Jan 2006: stage 2 lecture notes, part 2 NOW AVAILABLE.
Jan 2006: stage 2 lecture notes, part 3 NOW AVAILABLE.
Jan 2006: stage 2 lecture notes, part 4 NOW AVAILABLE.
Jan 2006: Draft Stage 3 chapter 1 slides NOW AVAILABLE.
Jan 2006: Draft Stage 3 chapter 2 slides NOW AVAILABLE.
Jan 2006: Draft Stage 3 chapter 3 slides NOW AVAILABLE.
Jan 2006: Draft Stage 3 chapter 4 slides NOW AVAILABLE.
Jan 2006: Want MORE help revising Chapman-Kolmogorov?! Check this and this out. (For a large number of sets of helpful online notes check out the list towards the bottom of this.)
Feb 2006: updated draft stage 1 lecture notes NOW AVAILABLE.
Feb 2006: stage 2 SLIDES, part 1 NOW AVAILABLE.
Feb 2006: stage 2 SLIDES, part 2 NOW AVAILABLE.
Feb 2006: stage 2 SLIDES, part 3 NOW AVAILABLE.
Feb 2006: 2005 exam paper NOW AVAILABLE for reference. (Suggestion: Do not look at this closely until you are ready to use it as a mock exam!)
Feb 2006: 2006 Coursework 1 NOW AVAILABLE. Solutions to be submitted (to General Office) no later than Thursday of week 9.
Apr 2006: 2005 exam paper SOLUTIONS 1-2 (note that there is a small, obvious typographical error in the answer to 2(b) - a missing column);
and 3-5 (note that the question numbers are n -> n-2 cf. the paper) NOW AVAILABLE for reference.
Apr 2006: STAGE 1 REVISION LECTURE WEDNESDAY 26th April 11:00 CM335.
Apr 2006: 2006 Coursework 1 Solutions NOW AVAILABLE.

OLDER NEWS

Please be sure to do all the exercises in the notes!
Feb 2005: NEW version 0.0.2 of lecture notes now available (via the link above). This draft covers lectures 1-6.
Feb 2005: Lecturing on stage 1 of the course is now complete. Stage 2 begins.
Please be sure to do all the exercises in the stage 1 notes now!
Feb 2005: See the related article in The Guardian of 03.02.05 (Life section, p.10).
Feb 2005: draft stage 2 lecture notes NOW AVAILABLE. NB, these notes are not yet complete, and will develop through the next week.
Feb 2005: Stage 2 Chapter 3: Simple Ruin Problems.
Feb 2005: draft stage 2 SLIDES NOW AVAILABLE.
Feb 2005: MORE SLIDES
Feb 2005: COURSEWORK 1 NOW AVAILABLE. Please hand in solutions no later than three weeks from 10/2/05. (In `real world' applications, efficient mathematical communication of your results is a valuable skill. A bonus mark will be available for any complete coursework submitted on only a single sheet of A4 paper - i.e. two sides.)
This coursework contains three questions. Each question also serves as an indication of the degree of difficulty of exam questions on the Stage 1 component of the course. Please remember also to attempt all the _exercises_ in the notes!
Mar 2005: Lecturing on stage 2 of the course is now complete. Stage 3 begins. Lectures are on Thursday mornings from 10:00 to 12:00.
Mar 2005: Stage 3 chapter 1 slides NOW AVAILABLE.
Mar 2005: Stage 3 chapter 2 slides NOW AVAILABLE.
Mar 2005: Extension on CW1 deadline: Coursework must be submitted not later than 12:30 on 10/03/05.
Mar 2005: Stage 3 chapter 3 slides NOW AVAILABLE.
Mar 2005: Stage 3 chapter 4 slides NOW AVAILABLE.
Mar 2005: Coursework 2 (final coursework) NOW AVAILABLE. This document also contains revision exercises..!
Mar 2005: stage 2 lecture notes FINAL FORM NOW AVAILABLE.
Mar 2005: REVISION ETC.: There will be an exercise/revision class 09:00-12:00 Thursday 7th April, with Prof Newby. (This is likely to be INVALUABLE! Be there if you can.)
Apr 2005: COURSEWORK 1 SOLUTIONS NOW AVAILABLE. This document also contains some useful revision tips, so read it!
Apr 2005: Coursework 1 is marked and available for collection from the General Office (inquire with Sue, Karen or Sujatha).
Apr 2005: Coursework 2 must be submitted no later than 22/4/05.
Apr 2005: Term 3 Week 1 final revision lecture this week, usual time and place.
Apr 2005: Want MORE help revising Chapman-Kolmogorov?! Check this and this out.
For a large number of sets of helpful online notes check out the list towards the bottom of this .

Indicative content

This is a module purpose built for, and tuned to the prior experience of, Mathematics students wishing to apply Mathematics to problems in Finance and related areas. In particular, beyond the standard core mathematics, there are NO prerequisites. Topics addressed from this perspective include topics taken from the following list:

Basic stochastics processes and Markov processes
- Stochastic matrices, matrix theory and invariant measure
Stochastic processes, risk and (review of) related statistics
- Stochastic processes in continuous time:
  - Poisson processes, homogeneous and non-homogeneous Renewal processes
  - Semi-markov processes
- Extreme value theory and risk analysis (Risk analysis is essentially about managing the extreme low probability events - RMS Titanic hits iceberg etc.)
- Copulas and multivariate dependence
Econophysics
Trading technology: data gathering; using the net and the web; speed of transactions; IT issues; data analysis; practicalities of market modelling; examples, signals and theories; portfolios versus individual stocks; more TBA.
Have a look at some draft/sample slides from the course overview here .

Learning outcomes

This module will put the mathematics learned in the earlier phases of the degree programme in a context appropriate for application in Finance and Economics; and introduce further topics in Mathematics core to Financial Mathematics.

Reading

Basic Stochastic Processes, Brzezniak and Zastawniak (Springer Undergraduate Mathematics Series).
Econophysics, Mantegna and Stanley (Cambridge UP).

About the module authors

Prof M Newby is Professor of Statistical Science in the Department of Mathematics at City University - an internationally known expert on risk analysis;

Prof P P Martin is Professor of Mathematical Physics in the Department of Mathematics at City University, and the author of one of the books listed above;

Andy Bower is Managing Director of Object Arts Co., and designs and uses his own systems to trade stocks on various markets.

others to follow.

Current maintainer: P P Martin

Last modified: May 11 19:03:02 GMT

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