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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: 2022-23

Related modules

Pre-requisite modules

Co-requisite modules

  • None

Prohibited combinations

  • None

Module will run

Occurrence Teaching cycle
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

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

Special assessment rules

None

Reassessment

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


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.