School of Computing and Mathematics

Faculty of Natural Sciences

For academic year: 2019/20 Last Updated: 20 November 2019

MAT-30039 - Financial Mathematics

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MAT 20023 Probability,

MAT 20008 Differential Equations

MAT 20008 Differential Equations

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The principal aim of this module is to give students an introduction to the mathematical concepts used in financial mathematics. The majority of the module will be concerned with stochastic models for stocks and pricing financial derivative products.

apply the main principles of financial markets to real-world scenarios;: 1,2,

analyze and explain the use of financial derivatives and hedging strategies;: 1,2,

create no-arbitrage arguments to derive upper and lower bounds of financial contracts and exploit arbitrage opportunities;: 1,2,

create hedging arguments for the discrete one-step binomial model and the continuous Black-Scholes model;: 1,2,

evaluate the outcomes of mathematical analysis to draw conclusions regarding financial markets.: 1,2,

analyze and explain the use of financial derivatives and hedging strategies;: 1,2,

create no-arbitrage arguments to derive upper and lower bounds of financial contracts and exploit arbitrage opportunities;: 1,2,

create hedging arguments for the discrete one-step binomial model and the continuous Black-Scholes model;: 1,2,

evaluate the outcomes of mathematical analysis to draw conclusions regarding financial markets.: 1,2,

30 hours lectures

18 hours assignment preparation

100 hours independent study

2 hours exam

18 hours assignment preparation

100 hours independent study

2 hours exam

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Two in-semester assignments

There will be two equally weighted assignments during the semester. Each assignment will consist of a set of questions that students will answer. The total length of the two assignments will be approximately ten handwritten pages, including mathematical calculations and, if necessary, figures and tables.

2 hour final examination

The examination paper will consist of no less than five and not more than eight question all of which are compulsory.