- Department: Mathematics
- Module co-ordinator: Dr. Alex Daletskii
- Credit value: 10 credits
- Credit level: H
- Academic year of delivery: 2022-23
- See module specification for other years: 2021-22
Pre-requisite modules
Co-requisite modules
- None
Prohibited combinations
- None
Occurrence | Teaching period |
---|---|
A | Spring Term 2022-23 |
To present classical mathematical approaches to portfolio selection and asset pricing in discrete and continuous time.
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.
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.
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Mathematical Finance II |
2 hours | 100 |
None
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Mathematical Finance II |
2 hours | 100 |
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.