Continuous-time Finance & Derivative Assets - ECO00007M
- Department: Economics and Related Studies
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Autumn Term 2022-23 |
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.
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 100 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 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.