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Mathematical Finance II - MAT00016H

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• Department: Mathematics
• Module co-ordinator: Dr. Alex Daletskii
• Credit value: 10 credits
• Credit level: H
• Academic year of delivery: 2021-22
  • See module specification for other years: 2022-23

Related modules

Module will run

Occurrence	Teaching period
A	Spring Term 2021-22

Module aims

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

Module learning outcomes

• The martingale approach to asset pricing.

• Cox-Ross-Rubinstein formula for option pricing in discrete time.

• Black-Scholes formula for option pricing in continuous time.

• Basic models of interest rates, and compounding methods.

Module content

Syllabus

• The binomial model.

• Cox-Ross-Rubinstein formula.

• Interest rates and compounding methods.

• The Black-Scholes stochastic partial differential equation.

• The Black-Scholes pricing formula.

• Martingale pricing formulae.

Assessment

Task	Length	% of module mark
Online Exam -less than 24hrs (Centrally scheduled) Mathematical Finance II	2 hours	100

Special assessment rules

None

Reassessment

Task	Length	% of module mark
Online Exam -less than 24hrs (Centrally scheduled) Mathematical Finance II	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 (G 2.01 CAP)