MASx52 - Stochastic Processes and Financial Mathematics



The stock price of Lloyds Banking Group, from Sept 2012 to Sept 2017.

This is the course web page for MAS352, MAS452 and MAS6052, known collectively as MASx52. Course notes, exercises and solutions can be found below.
To contact the lecturer, email n.p.freeman@sheffield.ac.uk.


Changes to normal course arragements, due to restrictions on travel and meetings, are posted the Accouncements section of the course in MOLE.

All students should check these accouncements.


Lecture notes (part 1), also containing exercises and solutions.
Lecture notes (part 2), also containing exercises and solutions.
Important note for 2019/20: due to industrial action, greyed out segments will not be covered, and will not be examinable.

Typos that have been found and fixed.

Assignment 1, Solutions
Assignment 2, Solutions
Assignment 3, Solutions

Formula sheet, which will be made available in the exam.
Past exam papers can be found on MOLE. 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."

First/second year probability and analysis revision notes.