MAT-30039 - Financial Mathematics
Coordinator: Jie Cheng Tel: +44 1782 7 33775
Lecture Time: See Timetable...
Level: Level 6
Credits: 15
Study Hours: 150
School Office: 01782 733075

Programme/Approved Electives for 2019/20

Mathematics Combined Honours (Level 6)


Available as a Free Standing Elective

No

Co-requisites

None

Prerequisites

MAT 20023 Probability,
MAT 20008 Differential Equations

Barred Combinations

None

Description for 2019/20


Aims
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.

Intended Learning Outcomes

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,
























Study hours

30 hours lectures
18 hours assignment preparation
100 hours independent study
2 hours exam

School Rules

None

Description of Module Assessment

1: Assignment weighted 30%
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: Unseen Exam weighted 70%
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.