Occurrence | Teaching cycle |
---|---|
A | Spring Term 2022-23 to Summer Term 2022-23 |
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.
Information currently unavailable
Task | Length | % of module mark |
---|---|---|
Online Exam -less than 24hrs (Centrally scheduled) Financial Engineering |
2 hours | 100 |
None
Task | Length | % of module mark |
---|---|---|
Online Exam -less than 24hrs (Centrally scheduled) Financial Engineering |
2 hours | 100 |
Information currently unavailable
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).