Mathematical Finance II - MAT00016H
- Department: Mathematics
- Credit value: 10 credits
- Credit level: H
- Academic year of delivery: 2022-23
Related modules
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Spring Term 2022-23 |
Module aims
To present classical mathematical approaches to portfolio selection and asset pricing in discrete and continuous time.
Module learning outcomes
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The martingale approach to asset pricing.
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Cox-Ross-Rubinstein formula for option pricing in discrete time.
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Black-Scholes formula for option pricing in continuous time.
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Basic models of interest rates, and compounding methods.
Module content
Syllabus
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The binomial model.
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Cox-Ross-Rubinstein formula.
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Interest rates and compounding methods.
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The Black-Scholes stochastic partial differential equation.
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The Black-Scholes pricing formula.
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Martingale pricing formulae.
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 100 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 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)