Stochastic Processes and Financial Mathematics
(part two)
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Chapter D Advice for revision/exams
There are two different exam papers, one for MAS352 and one for MAS61023. For both exams the rubric reads
Candidates should attempt ALL questions. The maximum marks for the various parts of the questions are indicated. The paper will be marked out of \(X\).
For MAS352 \(X=100\) and for MAS61023 \(X=85\). Within these notes, material marked with a \(\msconly \) is examinable only for MAS61023, and is non-examinable for MAS352. Material marked with a
\(\offsyl \) is non-examinable for everyone.
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• You will be asked to solve problems based on the material in these notes. There will be a broad range of difficulty amongst the questions. Some will be variations of
questions in the assignments/notes, others will also try to test your ingenuity.
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• You may be asked to state important definitions and results (e.g. more than one past exam has asked for definition of Brownian Motion).
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• You will not be expected to reproduce long proofs from memory. You are expected to have followed the techniques within the proofs (e.g. Ito’s formula,
conditional expectation rules) when they are present, and to be able to use these techniques in your own problem solving.
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• There are marks for attempting a suitable method, and for justifying rigorous mathematical deductions, as well as for reaching a correct conclusion.
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• If you apply an important result that has a name e.g. ‘the Martingale Convergence Theorem’ you should mention that name, or something similar e.g. ‘by
mart. conv.’ or ‘by the MCT’.
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• Practice using the formula sheet to help you solve questions. It contains lots of useful formulae!
Revision activities
The most important activities:
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1. Check and mark your solutions to assignment questions.
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2. Learn the key definitions, results, and examples.
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3. Do the past exam papers, and mark your own solutions.
Other very helpful activities:
Of course, you should have been working on these questions throughout the year, which is why they are lower priority now. You do not need to look at the challenge questions as part of your revision – these
are intended only to offer a serious, time consuming challenge to strong students.
In all cases, you are welcome to come and discuss any questions/comments/typos. Please email to arrange a convenient time.