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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.

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

  • 2 Lectures during University weeks 25 - 35
  • 1 Tutorial during University weeks 26 - 35

More Information about Week Numbers


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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