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MAT-30039 - Module Specification
School of Computer Science and Mathematics
Faculty of Natural Sciences

For academic year: 2024/25 Last Updated: 24 April 2024

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 2024/25

None

Available as a Free Standing Elective

No

Co-requisites

None

Prerequisites

MAT 20023 Probability,
MAT 20008 Differential Equations

Barred Combinations

None

Description for 2024/25

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: 1,2,3
analyze and explain the use of financial derivatives and hedging strategies: 1,2,3
create no-arbitrage arguments to derive upper and lower bounds of financial contracts and exploit arbitrage opportunities: 1,2,3
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 15%
take home 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: Unseen Exam weighted 70%
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.

3: Class Test weighted 15%
Class test
40 minutes class test covering mainly Chapter 1-3.

Please note that for the 2022/23 Academic Year programmes may be adapted to operate in accordance with a flexible, digital approach. This means that there may be some changes made to how modules are delivered and assessed. The latest information will be provided to you by your School in module handbooks. We endeavour to give you as much notice as possible of any changes and details about the circumstance in which changes are made to programmes can be found in the Student Agreement, available at: https://www.keele.ac.uk/student-terms-and-conditions/

Last Updated: 24 April 2024