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Mathematical Finance I - MAT00015H

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  • Department: Mathematics
  • Module co-ordinator: Dr. Zaq Coelho
  • Credit value: 10 credits
  • Credit level: H
  • Academic year of delivery: 2017-18

Module will run

Occurrence Teaching cycle
A Autumn Term 2017-18

Module aims

The aim of the module is to present classical mathematical approaches to portfolio selection and asset pricing in discrete time.

Module learning outcomes

At the end of the module you should be be familiar with:

basic discrete time market models

the rationale behind portfolio selection in discrete time

main ideas behind pricing of forward contracts and options in discrete time


Task Length % of module mark
University - closed examination
Mathematical Finance I
2 hours 100

Special assessment rules



Task Length % of module mark
University - closed examination
Mathematical Finance I
2 hours 100

Module feedback

Information currently unavailable

Indicative reading

Core Texts for Mathematical Finance I and II:

M. Capinski and T. Zastawniak, Mathematics for Finance. An Introduction to Financial Engineering, Springer (G 2.01 CAP)

A. Etheridge, A Course in Financial Calculus, Cambridge University Press (G 2.01 ETH)

M. Baxter and A Rennie, Financial Calculus: An introduction to Derivative Pricing, Cambridge University Press (G 2.01 BAX) only for Mathematical Finance II

Supplementary/Additional Texts for Mathematical Finance I and II:

J. Cvitanic and F. Zapatero, Introduction to the Economics and Mathematics of Financial Markets (G 2.01 CUI)

M.J. Seele, Stochastic Calculus and Financial Applications, Springer (S 9.3 STE) only for Mathematical Finance II

P. Wilmott, Paul Wilmott Introduces Quantitative Finance, Wiley (G 2.01 WIL)

P. Wilmott, Paul Wilmott on Quantitative Finance (2 vols), Wiley (G 2.01 WIL)

S. Benninga, Financial Modeling (G 2.01 BEN)

C. H. Huang and R. H. Litzenberger, Foundations for Financial Economics (G 2.6 HUA)

S. R. Pliska, Introduction to Mathematical Finance, Blackwell (G 0.182 PLI)

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.

Coronavirus (COVID-19): changes to courses

The 2020/21 academic year will start in September. We aim to deliver as much face-to-face teaching as we can, supported by high quality online alternatives where we must.

Find details of the measures we're planning to protect our community.

Course changes for new students