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 2021/22

None

Available as a Free Standing Elective

No

Co-requisites

None

Prerequisites

MAT 20023 Probability,
MAT 20008 Differential Equations

Barred Combinations

None

Description for 2021/22

Financial Mathematics' growing importance is shown by the 2008 financial crisis. It controls various aspects of our daily life. Over the years, the demands of the knowledge in financial mathematics have helped many graduates to gain positions in financial institutions successfully.
This module aims to give a mathematical perspective on the valuation of financial instruments (futures, options, etc.) and their risk-management. By the end of this module, students will have confidence solving various problems in stock modelling and derivatives pricing.

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: 2
evaluate the outcomes of mathematical analysis to draw conclusions regarding financial markets: 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 20%
Online assessment
There will be one assignment during the semester. It will consist of a set of questions that students will answer based on content delivered.

2: Open Book Examination weighted 80%
Final exam- 2 hours
The examination paper will consist of no less than five and not more than eight questions all of which are compulsory.