 Course Details in 2020/21 Session

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Module Title LM Mathematical Finance Mathematics Mathematics 06 20443 JJ Ruckmann Masters Level 20 Semester 1 Optional for MSci programmes in Mathematics, MSci programmes with Major in Mathematics, MSci programmes with Joint (60 credits) in Mathematics Lecture-46 hours Tutorial-10 hours Total: 56 hours Financial derivatives will be examined, examining the relevant differential equations and boundary conditions in a number of different problems. The solution method will also be examined, using a mix of analytical and computational techniques.Topics:1. Introduction to financial mathematics2. Introduction to financial derivatives3. Derivation of the Black-Scholes equation4. European options5. American options6. Analytical methods for the solution of option problems7. Computational methods for the solution of option problems8. Advanced topics. By the end of the module the student should be able to:Write down the governing partial differential equations and boundary conditions for a range of financial derivative problemsSolve the relevant partial differential equations arising from the study of some financial derivative problems using analytical and computational methodsDemonstrate an understanding of how mathematics and in particular discrete mathematics is used in the financial sector of the economyDemonstrate an understanding of interest calculations, asset return and investment types such as bonds, futures and options, and of how investment portfolios of risky assets should be composed in order to obtain a desired return with minimum riskExplore these topics beyond the taught syllabus 20443-10 : Raw Module Mark : Coursework (100%) Assessment: Online January assessment (50%); In-course assessment (50%). None 'The Mathematics of Financial Derivatives: A Student Introduction¿ by Paul Wilmott, Sam Howison and Jeff Dewynne. 1995. ISBN 0521497892. Published by Cambridge University Press; `Options, futures and other derivatives¿ by John C. Hull (6th edition) 2006. ISBN 0131499068. Published by Prentice Hall;