Undergraduate Programme and Module Handbook 2023-2024 (archived)
Module MATH3301: MATHEMATICAL FINANCE III
Department: Mathematical Sciences
MATH3301: MATHEMATICAL FINANCE III
| Type | Open | Level | 3 | Credits | 20 | Availability | Available in 2023/24 | Module Cap | Location | Durham |
|---|
Prerequisites
- Probability II (MATH2647)
Corequisites
- One 20 credit Level 3 mathematics module.
Excluded Combination of Modules
Aims
- To provide an introduction to the mathematical modelling of financial derivative products.
Content
- An introduction to options and markets.
- Asset pricing in discrete and continuous time.
- Brownian motion.
- Stochastic calculus.
- The Black-Scholes formulae.
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 Stochastic 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 | 42 | 2 per week for 20 weeks and 2 in term 3 | 1 Hour | 42 | |
| Problems Classes | 8 | Four in each of terms 1 and 2 | 1 Hour | 8 | |
| Preparation and Reading | 150 | ||||
| Total | 200 |
Summative Assessment
| Component: Examination | Component Weighting: 100% | ||
|---|---|---|---|
| Element | Length / duration | Element Weighting | Resit Opportunity |
| Written examination | 3 hours | 100% | |
Formative Assessment:
Eight written assignments to be assessed and returned. Other assignments are set for self-study and complete solutions are made available to students.
■ 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