Advanced Financial Mathematics
| Code | School | Level | Credits | Semesters |
| MATH4061 | Mathematical Sciences | 4 | 20 | Spring UK |
- Code
- MATH4061
- School
- Mathematical Sciences
- Level
- 4
- Credits
- 20
- Semesters
- Spring UK
Summary
In this course three major topics will be considered:
- Continuous time modelling for equity derivatives pricing;
- Pricing interest rate derivatives;
- Credit risk modelling.
which will be underpinned by the theory of stochastic processes and stochastic differential equations.
Students will gain experience of a topic of considerable contemporary importance, both in research and in applications. A group project will be undertaken which will involve independent reading, computer simulations, and a written report.
Target Students
Students taking MSc Financial and Computational Mathematics in the School of Mathematical Sciences. Also available to MMath students in year 4. Not available to PGT students on other MSc programmes.
Co-requisites
Modules you must take in the same academic year, or have taken in a previous year, to enrol in this module:
Classes
- Two 1-hour lectures each week for 10 weeks
- One 2-hour lecture each week for 10 weeks
Assessment
- 15% Coursework 1: A group project
- 85% Exam 1 (3-hour): Written examination.
Assessed by end of spring semester
Educational Aims
The purpose of thiscourse is to broaden the students' knowledge and experience of financial mathematical/engineering and stochastic processes. Thiscourse builds upon the concepts of financial mathematics and basics of Probability theory and stochastic processes introduced in MATH4060.Students will acquire knowledge and skills relevant to the mathematical modelling of investment and finance. Also, research experience will be broadened by undertaking some independent reading, computer simulations, group work and summarising the material in a project report.Learning Outcomes
A student who completes this course successfully should be able to:
L1 - state and apply corresponding elements of the theory of stochastic processes and stochastic differential equations in the context of financial modelling;
L2 - state and apply financial principles (i.i. ideas of no-arbitrage pricing) behind pricing and hedging equity and fixed-income options in the continuous time setting;
L3 - state and apply various types of financial derivatives and various models for price evolution;
L4 - define credit risk and apply financial modelling to pricing it;
L5 - research and synthesise a topic related to financial mathematics.