Overview:
- Credits:
- 7.5
- Level:
- 4
- Semester:
- Spring
- Subject:
- Finance
- School:
- Business
- Coordinator:
- Dr Conall O'Sullivan
FIN40060 Advanced Derivative Securities
Academic Year 2023/2024
Advanced Derivative Securities gives students a foundation in the mathematical methods of financial modelling and optimal choice in dynamically uncertain situations. A practical treatment of the formalism and notation of the Ito Calculus will be covered, including the definition and practical ramifications of the Ito integral, Ito's lemma, and the Girsanov theorem on change of measure. Stochastic differential equations are covered, followed by a general coverage of the properties of Brownian Motion and other types of Stochastic Processes. The Optimal Control problem will be covered, and the general principles and methods of Dynamic and Stochastic Programming will be covered.Show/hide contentOpenClose All
Curricular information is subject to change
Learning Outcomes:
On completing this module students will be expected to be able to:
• Apply the results and formalism of Stochastic Calculus to analyze and solve problems in Finance
• Understand and work with Stochastic Processes, including Wiener Processes
• Model financial situations in terms of Stochastic Processes and tackle problems
• Pose a dynamic choice problem in terms of the stochastic dynamic programming approach, and to be familiar with methods of solving Bellman's equation for the value function.
| Student Effort Type | Hours |
|---|---|
| Lectures | 24 |
| Tutorial | 5 |
| Autonomous Student Learning | 72 |
| Total | 101 |
Requirements, Exclusions and Recommendations
Not applicable to this module.
Module Requisites and Incompatibles
Not applicable to this module.
Assessment Strategy
| Description | Timing | Component Scale | % of Final Grade | ||
|---|---|---|---|---|---|
| Examination: Mid-term Quiz | Unspecified | Yes | Alternative linear conversion grade scale 40% | No | 25 |
| Continuous Assessment: Participation and Assignments | Throughout the Trimester | n/a | Alternative linear conversion grade scale 40% | No | 25 |
| Examination: Final Exam | Unspecified | Yes | Alternative linear conversion grade scale 40% | No | 50 |
| Resit In | Terminal Exam |
|---|---|
| Summer | Yes - 2 Hour |
Feedback Strategy/Strategies
• Feedback individually to students, post-assessment
How will my Feedback be Delivered?
Feedback will be provided both oral and written and both in-class and out of class throughout the trimester.
| Name | Role |
|---|---|
| Mr Ioannis Ropotos | Tutor |
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