Module MATH3301: MATHEMATICAL FINANCE III

Department: Mathematical Sciences

MATH3301: MATHEMATICAL FINANCE III

Prerequisites

• 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 Combination of Modules

• 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

• By the end of the module students will: have an understanding of basic option theory and Black-Scholes models.

• Students will have skills in Partial Differential Equations and Finance.

• 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

Summative Assessment

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