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Last modified: 23 Apr 2026 13:16
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.
| Study Type | Undergraduate | Level | 4 |
|---|---|---|---|
| Term | First Term | Credit Points | 15 credits (7.5 ECTS credits) |
| Campus | Aberdeen | Sustained Study | No |
| Co-ordinators |
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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
Information on contact teaching time is available from the course guide.
| Assessment Type | Summative | Weighting | 50 | |
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback |
Notes left on exam scripts to indicate correctness of solutions. |
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| Knowledge Level | Thinking Skill | Outcome |
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| Assessment Type | Summative | Weighting | 50 | |
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| Assessment Weeks | Feedback Weeks | |||
| Feedback | ||||
| Knowledge Level | Thinking Skill | Outcome |
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There are no assessments for this course.
| Assessment Type | Summative | Weighting | 50 | |
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback |
Pass marks carried forward |
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| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
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| Assessment Type | Summative | Weighting | 50 | |
|---|---|---|---|---|
| Assessment Weeks | Feedback Weeks | |||
| Feedback |
Pass marks carried forward |
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| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
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| Knowledge Level | Thinking Skill | Outcome |
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| Conceptual | Understand | Understand the role and limitations of mathematical models. |
| Procedural | Apply | Be able to do computations in all mathematical models discussed in the course, especially in the binomial model. |
| Conceptual | Understand | Understand the axiom of "no arbitrage" and its role in the models. |
| Conceptual | Understand | Understand the concept of "risk-neutral measure" and its role in option pricing. |
| Conceptual | Understand | Understand the basic financial concepts discussed in the course: risky and risk-free assets; forward contract; option; contingent claim; futures. |
| Procedural | Apply | Be able to compute the price of a forward contract and a rational price of an option. |
| Conceptual | Analyse | Be able to explain the basic financial concepts on both the mathematical model level and in simple words aimed at a general audience. |
| Procedural | Create | Construct various financial models for a given situation |
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