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

Lectures are on Wednesdays from 12-1pm in Lecture Theatre 2 and on Thursdays from 12-1pm in Lecture Theatre 7, 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.
Lecture notes (part 2), also containing exercises and solutions.
Important note: In the second semester notes, within Chapters 12-15, parts printed in greenish-grey are off-syllabus as a result of time lost to strike action. Apologies.

Current progress in lectures: Introduced Itos formula. (week 4)
Typos that have been found and fixed.

Assignment 1, Solutions
Assignment 2, Solutions
Assignment 3, Solutions
Assignment 4, Solutions (to appear)
Assignment 5, Solutions
Assignment 6, please do three (or four short) questions of your choice from one of the past exam papers available on MOLE. -->

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.