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MX5012: DISCRETE TIME MODELS (2016-2017)

Last modified: 28 Jun 2018 10:27

Course Overview

There is an interest in raising the level of understanding of mathematics in the financial sector. This course is a part of the new MSc programme in Financial Mathematics and provides students with the theoretical and practical skills related to discrete time models of financial markets.

Course Details

Study Type Postgraduate Level 5
Session First Sub Session Credit Points 15 credits (7.5 ECTS credits)
Campus Old Aberdeen Sustained Study No
  • Professor Jarek Kedra

Qualification Prerequisites


What courses & programmes must have been taken before this course?

  • Any Postgraduate Programme (Studied)

What other courses must be taken with this course?


What courses cannot be taken with this course?


Are there a limited number of places available?


Course Description

‚ÄčThe course introduces the basic discrete time models of financial markets. The course combines financial motivation with mathematical rigour and it covers subjects including: option pricing based on the no-arbitrage principle in discrete time setting, portfolio management, forward and future contracts and other topics.

Degree Programmes for which this Course is Prescribed

  • Master Of Science In Financial Mathematics

Contact Teaching Time

Sorry, we don't have that information available.

Teaching Breakdown


One 2h written exam (70%); One individual assignment (30%)

Resit: One 2h written examination (100%)

Formative Assessment




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