MX5012: DISCRETE TIME MODELS (2021-2022)

Last modified: 31 May 2022 13:05

Course Overview

The course is a part of the MSc programme in Financial Technology and provides students with the theoretical and practical skills related to discrete time models of financial markets. It introduces basic notions and mathematical methods related to financial markets and it is concerned with mathematical models in discrete time.

Course Details

Study Type	Postgraduate	Level	5
Session	First 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?

None.

Are there a limited number of places available?

Course Description

The 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.

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

First Attempt

Two homework projects:

Aseessment 1 (40%)

Aseessment 2 (60%)

Alternative Resit Arrangements

Resubmission of failed elements (pass marks carried forward)

Formative Assessment

Informal feedback will be provided in class. Students will be encouraged to submit written work for an informal feedback as well.

Course Learning Outcomes

Knowledge Level	Thinking Skill	Outcome
Factual	Remember	ILO’s for this course are available in the course guide.