## MATH2545 Financial Mathematics: Markets

### 10 creditsClass Size: 210

Module manager: Dr Graham Murphy
Email: G.J.Murphy@leeds.ac.uk

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2020/21

### Pre-requisites

 MATH1712 Probability and Statistics II

Module replaces

MATH2525

This module is approved as a discovery module

### Module summary

This module extends the range of topics covered in Financial Mathematics 1 and 2 and introduces the theory of option pricing which is continued in some level 3 modules. After completing the module you will have a basic understanding of calculating option prices in discrete time. Moreover, you will study some simple asset pricing models and basic concepts in risk management, including the definition of risk measures commonly used in many applications.

### Objectives

This module provides an introduction to several topics relating to financial assets including option pricing and the construction of optimal portfolios. The module also introduces basic principles of portfolio risk management with a focus on common measures of risk.

Learning outcomes
On completion of this module, students should be able to understand and price certain option contracts; understand how to construct optimal portfolios of assets; and define and calculate risk measures.

### Syllabus

1. Theories of financial market behaviour
2. Mean-variance portfolio theory
3. Options pricing (in discrete time)
4. Optimal investment and simple asset pricing models
5. Risk measures and risk management

### Teaching methods

Due to COVID-19, teaching and assessment activities are being kept under review - see module enrolment pages for information

 Private study hours 69 Total Contact hours 0 Total hours (100hr per 10 credits) 69

### Private study

Study and revision of course material
Completion of assignments and assessments

### Opportunities for Formative Feedback

Coursework assignments and tutorials

### Methods of assessment

Due to COVID-19, teaching and assessment activities are being kept under review - see module enrolment pages for information

Exams
 Exam type Exam duration % of formal assessment Online Time-Limited assessment 2 hr 00 mins 80.00 Total percentage (Assessment Exams) 80.00

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