MAS352/61023 - Stochastic Processes and Financial Mathematics

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This is the course web page for MAS352 and MAS61023, known collectively as MASx52.
To contact the lecturer: n.p.freeman@sheffield.ac.uk

Lectures are at 9am on Mondays in LT 3, and 11am on Thursdays in LT C, in the Hicks building.

Exercises and solutions can be found inside the lecture notes (below).

Assignments will be set in lectures, three times per semester, to be handed in, marked and also returned in lectures.

Office hours are (usually) 12.30-1.30 on Thursdays in room 20 on floor I of the Hicks building. You may simply turn up, but priority will be given to those who book a time. If those times are not possible for you, please email to arrange a convenient time. Please bring your (incomplete!) solutions to problem sets and/or questions from the lecture notes.

Lectures will use the blackboard, and occasionally slides. Please bring your copy of notes to lectures, for reference and annotation.

Lecture notes (part 1), also containing exercises and solutions.
Lecture notes (part 2), also containing exercises and solutions.
Web-page version of lecture notes (part 1), with identical content to the pdf.
Web-page version of lectures notes (part 2), with identical content to the pdf.

Assignment 1, Solutions
Assignment 2, Solutions
Assignment 3, Solutions
Assignment 4, Solutions
Assignment 5, Solutions

Formula sheet, available in the exam, also appears within the appendices of the lecture notes.

MAS352 assessment:
The course is assessed via a single exam, in the summer sitting.
Past exam papers and solutions for MAS352.

The exam lasts 3 hours, and 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 100."

MAS61023 assessment:
There will be an online test, to be completed during January 20-26th (not part of the formally scheduled January exam period), worth 15% of the final mark.
The remaining 85% comes from a single exam in the summer sitting.

Past (summer) exam papers and solutions for MAS61023.
Prior to 2023/24, MAS61023 was known as MAS452 and MAS6052.
The new course contains some sections on random walks and related topics that were not previously included.

The summer exam lasts 3 hours, and 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 85."

First/second year probability and analysis revision notes.
VLE pages (Blackboard)