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.
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 a comprehensive knowledge beyond the taught syllabus from personal exploration of the subject.
Assessment
23063-01 : Raw Module Mark : Coursework (100%)
Assessment Methods & Exceptions
Continuous assessment by 10% coursework and/or class tests; 90% based on a 90 minute written examination in the summer term.