Undergraduate Programme and Module Handbook 2009-2010 (archived)
Module MATH4181: MATHEMATICAL FINANCE IV
Department: Mathematical Sciences
MATH4181: MATHEMATICAL FINANCE IV
| Type | Open | Level | 4 | Credits | 20 | Availability | Available in 2009/10 | Module Cap | None. | Location | Durham |
|---|
Prerequisites
- (Mathematics modules to the value of 100 credits in Years 2 and 3, with at least 40 credits at Level 3) OR (Mathematics modules to the value of 80 credits in Years 2 and 3, with at least 20 credits at Level 3, AND Integrative Module - e-Science and Physics (COMP3361)).
Corequisites
- None.
Excluded Combination of Modules
- Mathematical Finance III (MATH3301)
Aims
- To provide an introduction to the mathematical modelling of financial derivative products.
Content
- An introduction to options and markets.
- Asset price random walks.
- The Black-Scholes model.
- Partial Differential Equations.
- The Black-Scholes formulae.
- Variations on the Black-Scholes model.
- Reading material on a topic related to: American options (obstacle problems, free boundary problems), Exotic options, Historical volatility.
Learning Outcomes
Subject-specific Knowledge:
- By the end of the module students will: have an understanding of basic option theory and Black-Scholes models.
- Will have an advanced understanding in one of the following areas: American options, Exotic options or Historical Volatility.
Subject-specific Skills:
- Students will have skills in Partial Differential Equations and Finance.
Key Skills:
- Students will have developed an appreciation of, and ability in, mathematical modelling in the financial world. Students will also have developed independent learning of an advanced topic.
Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module
- Teaching is by lectures through which the main body of knowledge is made available.
- Subject material assigned for independent study develops the ability to acquire knowledge and understanding without dependence on lectures.
- Students do regular formative work solving problems to gain insight into the details of relevant theories and procedures.
- Summative examination assesses acquired knowledge, problem-solving skills and a range of modellig and computational skills. The subject material assigned for independent study will form part of the examined material.
Teaching Methods and Learning Hours
| Activity | Number | Frequency | Duration | Total/Hours | |
|---|---|---|---|---|---|
| Lectures | 38 | 2 per week | 1 hour | 38 | |
| Other (Homework) | 20 | 1 per fortnight | 2 hours | 20 | |
| Preparation and Reading | 142 | ||||
| Total | 200 |
Summative Assessment
| Component: Examination | Component Weighting: 100% | ||
|---|---|---|---|
| Element | Length / duration | Element Weighting | Resit Opportunity |
| end of year written examination | 3 hours | 100% | |
Formative Assessment:
Written assignments, no collection.
■ Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University