Programme And Module Handbook
Course Details in 2024/25 Session

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Module Title Mathematical Finance
Department Mathematics
Module Code 06 20444
Module Lead S Decent
Level Honours Level
Credits 20
Semester Semester 1
Pre-requisites LI Multivariable & Vector Analysis - (06 25667)
Restrictions Optional for MSci programmes in Mathematics, BSc in Mathematical Sciences, BSc Mathematical Sciences with Study in Continental Europe, Programmes with Major in Mathematics, Programmes with Joint (60 credits) in Mathematics
Contact Hours Lecture-46 hours
Tutorial-10 hours
Total: 56 hours
Description Financial derivatives will be examined using a continuous-time approach, examining the relevant partial 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 methods. A range of discrete time financial models will be analysed. This will include mainly (but not exclusively) the return of assets and their volatility, two-asset and multi-asset portfolio optimisation and various investment models such as options, futures and bonds.
Learning Outcomes 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 problems
  • Solve the relevant partial differential equations arising from the study of some financial derivative problems using analytical and computational methods
  • Demonstrate an understanding of how mathematics and in particular discrete mathematics is used in the financial sector of the economy
  • Demonstrate an understanding of how interest calculations, asset return and investment types such as bonds, future and options, and of how investment portfolios of risky assets should be composed in order to obtain a desired return with minimum risk
Assessment 20444-01 : Raw Module Mark : Coursework (100%)
Assessment Methods & Exceptions 3 hour Written Unseen Examination (80%); In-course Assessment (20%).
Reading List