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MX4087: FINANCIAL MATHEMATICS (2018-2019)

Last modified: 22 May 2019 17:07


Course Overview

Financial mathematics is a fundamental tool in modeling problems in economics and finance. The tools and techniques are employed by almost all large financial institutions in order to obtain predictive models of the market. It is also a necessary tool in actuarial science. The course enhances problem solving and abstraction skills.

Course Details

Study Type Undergraduate Level 4
Session First 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?

  • Either MA1005 Calculus 1 (Passed) or MA1508 Calculus II (Passed)
  • Any Undergraduate Programme (Studied)
  • Either Programme Level 3 or Programme Level 4
  • Either Mathematics (MA) or Mathematical Sciences (MX)

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 an introduction to financial mathematics, a branch of Mathematics which deals with mathematical models of financial markets. The course will cover the discrete time models of financial markets. The topics will include: binomial models, risk free assets, portfolio management, forward and future contracts, the principle of no arbitrage.
If time permits, continuous time models will also be discussed.

Syllabus

  • Basic notions of probability theory.
  • Simple market model.
  • Risk-free assets.
  • Portfolio management.
  • Forward and future contracts.
  • Options.
  • Binomial and general discrete models.

Further Information & Notes

 

This course alternates with MX4086 Optimisation Theory.


Contact Teaching Time

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

Teaching Breakdown

  • 1 Tutorial during University weeks 8 - 17

More Information about Week Numbers


Summative Assessments

1st Attempt

  • One 2-hour exam (80%)
  • In-course assessment (20%)


Resit

  • One 2-hour exam.
  • Best of EITHER 100% resit OR 80% resit and 20% coursework.

Formative Assessment

There are no assessments for this course.

Feedback

Within 2 weeks of assessment.

Notes left on exam scripts to indicate correctness of solutions.

Course Learning Outcomes

None.

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