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: 2019-20

Related modules

Pre-requisite modules

Co-requisite modules

  • None

Prohibited combinations

  • None

Module will run

Occurrence Teaching cycle
A Autumn Term 2019-20

Module aims

To present classical mathematical approaches to portfolio selection and asset pricing in discrete time.

Module learning outcomes

  • 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.

Module content

Syllabus

  • Introduction: What is Mathematical Finance?

  • Discrete time market models.

  • No-arbitrage principle.

  • Portfolio selection.

  • CAPM

  • Forward contracts.

  • European options.

Assessment

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

Special assessment rules

None

Reassessment

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

Module feedback

Current Department policy on feedback is available in the undergraduate student handbook. Coursework and examinations will be marked and returned in accordance with this policy.

Indicative reading

M Capinski and T Zastawniak, Mathematics for Finance; An Introduction to Financial Engineering, Springer.



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.