Programme And Module Handbook
 
Course Details in 2018/19 Session


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Module Title LM Introduction to Quantitive Finance
SchoolMathematics
Department Mathematics
Module Code 06 23063
Module Lead Dr. D. M. Leppinen
Level Masters Level
Credits 10
Semester Semester 1
Pre-requisites
Co-requisites LM Exotic Options, Bonds and Further Quantitive Finance - (06 23064)
Restrictions None
Exclusions
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.
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.
Other None
Reading List