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.


Lectures are on Wednesdays at 9am in Lecture Theatre 7 and on Thursdays at 10am in Lecture Theatre 2, both in the Hicks Building.

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

Three times during each semester, assignments will be set in lectures, to be handed in, marked and also returned in lectures.

Please email me if you would like to arrange office hours and suggest a range of times when you are free.

Assessment is by an exam, in the summer, at the end of the whole course.


Lectures will use the blackboard, and occasionally slides.
Students should bring their copy of the typed notes to lectures, for reference and annotation.

Lecture notes (part 1), also containing exercises and solutions.

Current progress in lectures: Mid-way through Sec 4.2 (Thurs week 6).
Typos that have been found and fixed.

Assignment 1, 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.