This is an archived handbook for a previous year. The current undergraduate and postgraduate handbooks can be viewed using the links above.
Undergraduate Handbook 2010-2011 (archived)
Module MATH3301: MATHEMATICAL FINANCE III
Department: Mathematical Sciences
MATH3301: MATHEMATICAL FINANCE III
| Type | Level | Credits | Availability | Module Cap | Location |
|---|---|---|---|---|---|
| Open | 3 | 20 | Available in 2010/2011 | None. | Durham |
Pre-requisites
- Level 2 mathematics modules to the value of 40 credits or one 20 credit Level 2 mathematics module and Core Mathematics B1 (if taken in Year 2).
Corequisites
- One 20 credit Level 3 mathematics module.
Excluded Combinations
- Mathematical Finance IV (MATH4181)
Aims
- To provide and 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.
Learning Outcomes
Subject-specific Knowledge
- By the end of the module students will: have an understanding of basic option theory and Black-Scholes models.
Subject-specific Skills
- Students will have skills in Partial Differential Equations and Finance.
Key Skills
- Moreover, students will have developed an appreciation of, and ability in, mathematical modelling in the financial world.
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.
- Students do regular formative work solving problems to gain insight into the details of relevant theories and procedures.
- End of year examination to assess the learning.
Teaching Methods and Learning Hours
| Activity | Number | Frequency | Duration | Total Hours | Attendance Monitored |
|---|---|---|---|---|---|
| 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 | Component Weighting | Element | Length/Duration | Element Weighting | Resit Opportunity |
|---|---|---|---|---|---|
| Examination | 100% | end of year written examination | 3 hours | 100% |
Formative Assessment
Written assignments, no collection.
Students who do not attend monitored activities shown under Teaching Methods
and Learning Hours, or who fail to complete the summative or formative
assessment(s) specified above, may be subject to the Academic Progress
procedures defined in the University's General Regulation V, and may be
required to leave the University.