MX5019: CONTINUOUS TIME MODELS (2020-2021)

Last modified: 05 Aug 2021 13:04

Course Overview

This course is a part of the MSc programme in Financial Mathematics. It is concerned with financial mathematical models in continuous time. The main topic is the Black-Scholes-Merton model from both theoretical and practical perspective.

Course Details

Study Type	Postgraduate	Level	5
Session	Second Sub Session	Credit Points	15 credits (7.5 ECTS credits)
Campus	Aberdeen	Sustained Study	No
Co-ordinators	Professor Jaroslaw J. Kedra

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

Any Postgraduate Programme

What other courses must be taken with this course?

None.

What courses cannot be taken with this course?

MX5519 Continuous Time Models (Studied)

Are there a limited number of places available?

Course Description

The course is a continuation of the course on discrete time models and introduces the continuous time models of financial markets. It is mostly concerned with Black-Scholes-Merton model and introduces mathematical tools needed for the model and introduces mathematical tools needed for the model and carefully derives the Black-Scholes-Merton pricing formulas. It also discusses the shortcomings of the Black-Scholes-Merton model.

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

Two homework projects:

Asessment 1 (40%)

Asessment 2 (60%)

Alternative Resit Arrangements for students taking course in Academic Year 2020/21

Resubmission of failed elements.

Formative Assessment

There are no assessments for this course.

Course Learning Outcomes

Knowledge Level	Thinking Skill	Outcome
Factual	Remember	Not Available