This is an archived handbook for a previous year. The current undergraduate and postgraduate handbooks can be viewed using the links above.
Undergraduate Handbook 2025-2026 (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 2025/2026 | Durham |
Pre-requisites
- Probability II (MATH2647)
Corequisites
- One 20 credit Level 3 mathematics module.
Excluded Combinations
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 | Attendance Monitored |
|---|---|---|---|---|---|
| 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 | Component Weighting | Element | Length/Duration | Element Weighting | Resit Opportunity |
|---|---|---|---|---|---|
| Examination | 100% | Written examination | 3 hours | 100% |
Formative Assessment
Eight assignments to be submitted.
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.