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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: 2022-23
  • See module specification for other years: 2021-22

Related modules

Module will run

Occurrence	Teaching period
A	Autumn Term 2022-23

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
Closed/in-person Exam (Centrally scheduled) Mathematical Finance I	2 hours	100

Special assessment rules

None

Reassessment

Task	Length	% of module mark
Closed/in-person Exam (Centrally scheduled) 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.