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MATH3301: MATHEMATICAL FINANCE III

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Type Open
Level 3
Credits 20
Availability Available in 2023/24
Module Cap
Location Durham
Department Mathematical Sciences

Prerequisites

  • Probability II (MATH2647)

Corequisites

  • One 20 credit Level 3 mathematics module.

Excluded Combinations of Modules

Aims

  • To provide an introduction to the mathematical modelling offinancial derivative products.

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 understandingof basic option theory and Black-Scholes models.

Subject-specific Skills:

  • Students will have skills in Stochastic Differential Equationsand Finance.

Key Skills:

  • Moreover, students will have developed an appreciation of,and ability in, mathematical modelling in the financialworld.

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 ofknowledge is made available.
  • Students do regular formative work solving problems to gain insight into the details of relevant theories and procedures.
  • End of year examination to assess the learning.

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 Hour8 
Preparation and Reading150 
Total200 

Summative Assessment

Component: ExaminationComponent Weighting: 100%
ElementLength / DurationElement WeightingResit Opportunity
Written examination3 hours100 

Formative Assessment

Eight written 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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