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  4. 2018-2019
  5. Mathematical Sciences
  6. MX5519: Continuous Time Models

MX5519: CONTINUOUS TIME MODELS (2018-2019)

Last modified: 22 May 2019 17:07


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 Second Sub Session Credit Points 15 credits (7.5 ECTS credits)
Campus Old Aberdeen Sustained Study No
Co-ordinators
  • Professor Jarek Kedra

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

  • Any Postgraduate Programme (Studied)

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

None.

Are there a limited number of places available?

No

Course Description

The course is a continuation of the course on time models and introduces the continuous time models of financial markets. The course combines financial motivation with mathematical rigour and it covers subjects including: the Black-Scholes model, the Ito formula, interest rates and other topics.


Contact Teaching Time

Information on contact teaching time is available from the course guide.

Teaching Breakdown

More Information about Week Numbers


Details, including assessments, may be subject to change until 31 August 2023 for 1st half-session courses and 22 December 2023 for 2nd half-session courses.

Summative Assessments

 

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

Resit -

One 2h written exam (100%)

Formative Assessment

There are no assessments for this course.

Feedback

None.

Course Learning Outcomes

None.
 

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