Programme/Approved Electives for 2020/21
Available as a Free Standing Elective
MAT 20023 Probability,MAT 20008 Differential Equations
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.
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,
30 hours lectures18 hours assignment preparation100 hours independent study2 hours exam
1: Assignment weighted 30%
Description of Module Assessment
Two in-semester assignmentsThere 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 examinationThe examination paper will consist of no less than five and not more than eight question all of which are compulsory.