2016/17 Undergraduate Module Catalogue

MATH2525 Financial Mathematics 3

10 creditsClass Size: 200

Module manager: Dr Elena Issoglio
Email: E.Issoglio@leeds.ac.uk

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2016/17

Pre-requisite qualifications

MATH2515 or equivalent

This module is mutually exclusive with

LUBS3160

Financial Derivatives

This module is approved as a discovery module

Module summary

The module covers futures and option markets, simple asset pricing models and concepts in risk management. The module content expands and complements the CT1 syllabus of the Faculty and Institute of Actuaries (Financial Mathematics, core technical), bridging the gap to continuous time finance topics. The module also covers the asset pricing models, risk measures and risk management which are part of CT8 (Financial Economics).

Objectives

See learning outcomes.

Learning outcomes
On completion of this module, students should be able to understand option, future and swap contracts and be familiar with their use in hedging, particularly in hedging interest and foreign exchange risk. Students will also be familiar with simple asset pricing models and basic concepts in risk management.

Syllabus

1. Introduction to futures markets, hedging in futures markets
2. Foreign exchange and Interest rate futures and swaps
3. Options pricing
4. Optimal investment and simple asset pricing models
5. Risk measures and risk management

Teaching methods

Delivery type	Number	Length hours	Student hours
Lecture	22	1.00	22.00
Tutorial	7	1.00	7.00
Private study hours			71.00
Total Contact hours			29.00
Total hours (100hr per 10 credits)			100.00

Private study

Consolidation of course notes and background reading:

- J. C. Hull "Options, Futures, and other Financial Derivatives" (in particular Chapters 1-7, 9, 11, 18 and 20.)
- Faculty/Institute of Actuaries "CT 8 Financial Economics"
- Faculty/Institute of Actuaries "CT 1 Financial Mathematics"

Opportunities for Formative Feedback

Assessment of success on example sheets.
Contact during tutorials.

Methods of assessment

Coursework

Assessment type	Notes	% of formal assessment
In-course Assessment	Exercise Sheets	15.00
Total percentage (Assessment Coursework)		15.00

There is no resit available for the coursework component of this module. If the module is failed, the coursework mark will be carried forward and added to the resit exam mark with the same weighting as listed above.

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	2 hr 00 mins	85.00
Total percentage (Assessment Exams)		85.00

Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated

Reading list

The reading list is available from the Library website

Last updated: 08/04/2016

Disclaimer

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