If you find any data displayed on this website that should be amended, please contact the Curriculum Management Team.
Module Title
LM Mathematical Finance
School
Mathematics
Department
Mathematics
Module Code
06 37784
Module Lead
Level
Masters Level
Credits
20
Semester
Semester 1
Pre-requisites
Co-requisites
Restrictions
None
Exclusions
Description
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 include: 1. Introduction to financial mathematics 2. Introduction to financial derivatives 3. Derivation of the Black-Scholes equation 4. European options 5. American options 6. Analytical methods for the solution of option problems 7. Computational methods for the solution of option problems 8. Advanced topics in financial mathematics
Learning Outcomes
By the end of the module students 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 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 risk
Students will be allowed a second and final attempt at the final examination during the Supplementary Examination Period with their final mark capped at the pass level of 50%.
