Overview:
- Credits:
- 5.0
- Level:
- 2
- Semester:
- Spring
- Subject:
- Mathematics
- School:
- Mathematics & Statistics
- Coordinator:
- Dr Andrea Monaco
MATH20180 Foundations for Financial Mathematics
Academic Year 2021/2022
This module is an introduction to the probability theory underlying modern financial mathematics, in particular the background necessary to understand the Black-Scholes formula for pricing call and put options. Topics to be covered include: probability measures, Borel measurable functions, conditional expectations, call and put options.Show/hide contentOpenClose All
Curricular information is subject to change
Learning Outcomes:
The student will be able to calculate simple option prices and to hedge call and put options. Students apply basic probability models, averages and expected values, and use conditional probabilities and conditional expectations.
| Student Effort Type | Hours |
|---|---|
| Lectures | 36 |
| Tutorial | 12 |
| Autonomous Student Learning | 60 |
| Total | 108 |
Requirements, Exclusions and Recommendations
Learning Requirements:Students must have passed either MATH 10130 or MATH 10060 or be taking either MST 20040 or MATH 20170
Module Requisites and Incompatibles
Not applicable to this module.
Assessment Strategy
| Description | Timing | Component Scale | % of Final Grade | ||
|---|---|---|---|---|---|
| Continuous Assessment: Midterm Exam | Unspecified | n/a | Standard conversion grade scale 40% | No | 25 |
| Examination: End of semester | 2 hour End of Trimester Exam | No | Standard conversion grade scale 40% | No | 75 |
Carry forward of passed components
No
No
| Resit In | Terminal Exam |
|---|---|
| Autumn | Yes - 2 Hour |
Feedback Strategy/Strategies
• Group/class feedback, post-assessment
How will my Feedback be Delivered?
Lectures, tutorials, enquiry and problem-based learning.
| Name | Role |
|---|---|
| Dr Conor Finnegan | Lecturer / Co-Lecturer |
| Dr Conor Finnegan | Tutor |
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