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Continuous-time Finance & Derivative Assets - ECO00007M

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  • Department: Economics and Related Studies
  • Module co-ordinator: Dr. Paola Zerilli
  • Credit value: 10 credits
  • Credit level: M
  • Academic year of delivery: 2021-22
    • See module specification for other years: 2022-23

Module will run

Occurrence Teaching period
A Autumn Term 2021-22

Module aims

To provide a theoretical foundation for derivatives valuation in continuous time, suitable for those progressing to financial industry or to research in finance. The core content is mathematical in nature, but the financial applications help to motivate the analysis and provide practical examples.

Module learning outcomes

To provide a comprehensive foundation in continuous time pricing theory as applied to options, futures and fixed income securities. The theoretical framework will allow students to understand and apply the key concepts of risk neutral valuation, no-arbitrage valuation, replicating portfolio and martingales. This module also covers advanced topics including models with stochastic volatility and discontinuous processes that more closely resemble situations of crisis in the financial markets.

Assessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Continuous-time Finance		 2 hours 100

Special assessment rules

None

Reassessment

Task Length % of module mark
Closed/in-person Exam (Centrally scheduled)
Continuous-time Finance		 2 hours 100

Module feedback

Students will receive feedback on their closed exam within the University's Policy on Assessment Feedback Turnaround Time (20 working days).  Following the release of their marks, cohort feedback will also be published on the Departmental website and student will have the opportunity to view their exam scripts at supervised Feedback Sessions.

Indicative reading

The book that covers the material of the course most closely is:

Bjork, T., Arbitage Theory in Continuous Time, Oxford University press, 2004.


The information on this page is indicative of the module that is currently on offer. The University is constantly exploring ways to enhance and improve its degree programmes and therefore reserves the right to make variations to the content and method of delivery of modules, and to discontinue modules, if such action is reasonably considered to be necessary by the University. Where appropriate, the University will notify and consult with affected students in advance about any changes that are required in line with the University's policy on the Approval of Modifications to Existing Taught Programmes of Study.