Last modified: 22 Jul 2026 13:42
The course is a part of the MSc programme in Financial Technology and provides students with the theoretical and practical skills related to mathematical models of financial markets.
| Study Type | Postgraduate | Level | 5 |
|---|---|---|---|
| Term | First Term | Credit Points | 30 credits (15 ECTS credits) |
| Campus | Aberdeen | Sustained Study | No |
| Co-ordinators |
|
||
The first part of the course introduces 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. The second part of the course is concerned with models in continuous time, and it introduces the Black-Scholes-Merton model and discusses its properties and applications.
Information on contact teaching time is available from the course guide.
| Assessment Type | Summative | Weighting | 30 | |
|---|---|---|---|---|
| Assessment Weeks | 17 | Feedback Weeks | 19 | |
| Feedback |
Homework (Problem Sheet) worth 30% of the overall grade. |
|||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Remember | Remember financial terminology. |
| Conceptual | Understand | Understand the No Arbitrage Principle. |
| Conceptual | Understand | Understand probability theory in the financial context. |
| Conceptual | Understand | Understand the concept of a risk-neutral measure. |
| Procedural | Apply | Apply tools of probability theory in the financial context. |
| Procedural | Apply | Understand the derivation of the Black-Scholes-Merton model. |
| Procedural | Apply | Apply the Black-Scholes-Merton model in pricing options. |
| Procedural | Apply | Apply the No Arbitrage Principle. |
| Procedural | Apply | Understand the basics of the Black-Scholes-Merton model. |
| Procedural | Apply | Use risk-neutral measure in pricing options. |
| Assessment Type | Summative | Weighting | 30 | |
|---|---|---|---|---|
| Assessment Weeks | 13 | Feedback Weeks | 15 | |
| Feedback |
Homework (Problem Sheet) worth 30% of the overall grade. |
|||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Remember | Remember financial terminology. |
| Conceptual | Understand | Understand the No Arbitrage Principle. |
| Conceptual | Understand | Understand probability theory in the financial context. |
| Procedural | Apply | Apply tools of probability theory in the financial context. |
| Procedural | Apply | Apply the No Arbitrage Principle. |
| Assessment Type | Summative | Weighting | 40 | |
|---|---|---|---|---|
| Assessment Weeks | 20 | Feedback Weeks | 27 | |
| Feedback |
Exam worth 40% of the overall grade. |
|||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Conceptual | Remember | Remember financial terminology. |
| Conceptual | Understand | Understand the concept of a risk-neutral measure. |
| Conceptual | Understand | Understand the No Arbitrage Principle. |
| Conceptual | Understand | Understand probability theory in the financial context. |
| Procedural | Apply | Apply the No Arbitrage Principle. |
| Procedural | Apply | Apply tools of probability theory in the financial context. |
| Procedural | Apply | Use risk-neutral measure in pricing options. |
| Procedural | Apply | Apply the Black-Scholes-Merton model in pricing options. |
| Procedural | Apply | Understand the basics of the Black-Scholes-Merton model. |
There are no assessments for this course.
| Assessment Type | Summative | Weighting | ||
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback | ||||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
|
|
||
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Procedural | Apply | Understand the derivation of the Black-Scholes-Merton model. |
| Conceptual | Understand | Understand probability theory in the financial context. |
| Conceptual | Remember | Remember financial terminology. |
| Procedural | Apply | Understand the basics of the Black-Scholes-Merton model. |
| Procedural | Apply | Apply the Black-Scholes-Merton model in pricing options. |
| Procedural | Apply | Apply the No Arbitrage Principle. |
| Conceptual | Understand | Understand the concept of a risk-neutral measure. |
| Conceptual | Understand | Understand the No Arbitrage Principle. |
| Procedural | Apply | Apply tools of probability theory in the financial context. |
| Procedural | Apply | Use risk-neutral measure in pricing options. |
We have detected that you are have compatibility mode enabled or are using an old version of Internet Explorer. You either need to switch off compatibility mode for this site or upgrade your browser.
