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MATH40920: Mathematical Finance

It is possible that changes to modules or programmes might need to be made during the academic year, in response to the impact of Covid-19 and/or any further changes in public health advice.

Type Tied
Level 4
Credits 20
Availability Available in 2023/24
Module Cap None.
Location Durham
Department Mathematical Sciences

Prerequisites

  • Probability

Corequisites

  • None

Excluded Combinations of Modules

  • None

Aims

  • Mathematical Finance.

Content

  • An introduction to options and markets.
  • Asset pricing in discrete and continuous time.
  • Brownian motion.
  • Stochastic calculus.
  • The Black-Scholes formulae.

Learning Outcomes

Subject-specific Knowledge:

  • By the end of the module students will: have an understanding of basic option theory and Black-Scholes models.
  • Will have an advanced understanding in one of the following areas: American options, Exotic options or Historical Volatility.

Subject-specific Skills:

  • Students will have skills in Stochastic Differential Equations and Finance.

Key Skills:

  • Students will have developed an appreciation of, and ability in, mathematical modelling in the financial world. Students will also have developed independent learning of an advanced topic.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

  • Teaching is by lectures through which the main body of knowledge is made available.
  • Subject material assigned for independent study develops the ability to acquire knowledge and understanding without dependence on lectures.
  • Students do regular formative work solving problems to gain insight into the details of relevant theories and procedures.
  • Summative examination assesses acquired knowledge, problem-solving skills and a range of modellig and computational skills. The subject material assigned for independent study will form part of the examined material.

Teaching Methods and Learning Hours

ActivityNumberFrequencyDurationTotalMonitored
Lectures422 per week for 20 weeks and 2 in term 31 Hour42 
Problems Classes8Four in each of terms 1 and 21 Hour 8 
Preperation and Reading150 
Total200 

Summative Assessment

Component: ExaminationComponent Weighting: 100%
ElementLength / DurationElement WeightingResit Opportunity
Written examination3 Hours100 

Formative Assessment

Eight written or electronic assignments to be assessed and returned. Other assignments are set for self-study and complete solutions are made available to students.

More information

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