Financial Engineering - ECO00017M

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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: 2019-20

Module will run

Occurrence Teaching cycle
A Spring Term 2019-20 to Summer Term 2019-20

Module aims

Providing the students with an exhaustive background in pricing financial assets and derivatives using stochastic differential equations.

Showing how to use various computer softwares (mainly Matlab) to have a deeper understanding of the theoretical models covered in the lectures.

Module learning outcomes

Information currently unavailable

Assessment

Task Length % of module mark
University - closed examination
Financial Engineering
2 hours 100

Special assessment rules

None

Reassessment

Task Length % of module mark
University - closed examination
Financial Engineering
2 hours 100

Module feedback

Information currently unavailable

Indicative reading

The modle is based on the lecture notes. The material in the lecture notes is a synthesis of various texts and a number of specialist papers in this area that will be provided in due course.

In particular reference is made to:

Hull, J.C., Options, Futures and other Derivatives, Prentice Hall, 5th Edition, 2003 (or later editions).

Although not necessary, a furhter useful reading would be:

Bjork, T., Arbitrage Theory in Continuous Time, Oxford University Press, 1998 (or later editions).



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.