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Module Title
LM Advanced Quantitive Finance: Crashes, Volatility, Multiple Assets and Hedging
School
Mathematics
Department
Mathematics
Module Code
06 23065
Module Lead
Dr David Leppinen
Level
Masters Level
Credits
10
Semester
Semester 2
Pre-requisites
Co-requisites
Restrictions
None
Exclusions
Description
To introduce the student to the pricing of more advanced derivative products in Mathematical Finance, and to examine more advanced solution methods. Advanced derivative products of the kind often used in reality will be examined in more detail. This will include examining options not considered previously, but also looking in more detail at derivative products already studied in the Introduction to Quantitive Finance module. This may include topics such as: energy derivatives; market crashes; multi-asset options; volatility; hedging. More advanced numerical methods for the solution of option pricing problems will also be examined. This module should better prepare students for a career in Mathematical Modelling in Finance, including a broader background in the trading of derivatives and options.
Learning Outcomes
By the end of the module the student should be able to:
Demonstrate knowledge and understanding of derivative products and other advanced topics in Mathematical Finance;
Solve mathematical problems in the pricing of various derivative products;
Explore these topics beyond the taught syllabus.
Assessment
23065-01 : Raw Module Mark : Coursework (100%)
Assessment Methods & Exceptions
10% from coursework and/or class tests; 90% based on a 90 minute written examination in the summer term.