- Department: Mathematics
- Module co-ordinator: Dr. Alex Daletskii
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
- See module specification for other years: 2021-22
Pre-requisite modules
- None
Co-requisite modules
- None
Prohibited combinations
Occurrence | Teaching period |
---|---|
A | Spring Term 2022-23 |
To present classical mathematical approaches to portfolio selection and asset pricing in discrete and continuous time.
By the end of this module students should be able to know/understand/do
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.
Furthermore the students will have developed their capacity at an advanced level to
In addition to lectures, Masters students will be required to complete a directed self-study into a specific area of mathematical finance which draws on their knowledge and understanding from lectures, and supported by additional reading and the seminars, to be assessed by regular coursework.
|
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Mathematical Finance II |
2 hours | 75 |
Essay/coursework Assignment 1 |
N/A | 8 |
Essay/coursework Assignment 2 |
N/A | 8 |
Essay/coursework Assignment 3 |
N/A | 9 |
None
Task | Length | % of module mark |
---|---|---|
Closed/in-person Exam (Centrally scheduled) Mathematical Finance II - Reassessment |
2 hours | 100 |
Examination result delivered in Week 10 of Summer Term, with model solutions and examiner’s comments available earlier.
M Capinski and T Zastawniak, Mathematics for Finance; An Introduction to Financial Engineering, Springer.