Durham University
Programme and Module Handbook

Undergraduate Programme and Module Handbook 2010-2011 (archived)


Department: Mathematical Sciences


Type Open Level 3 Credits 20 Availability Available in 2010/11 Module Cap None. Location Durham


  • 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).


  • One 20 credit Level 3 mathematics module.

Excluded Combination of Modules

  • Mathematical Finance IV (MATH4181)


  • To provide and introduction to the mathematical modelling of financial derivative products.


  • 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
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