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2017/18 Undergraduate Module Catalogue

MATH2525 Financial Mathematics 3

10 creditsClass Size: 175

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

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2017/18

Pre-requisite qualifications

MATH2515 or equivalent

This module is mutually exclusive with

LUBS3160Financial 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. For exemptions from actuarial exams, please see http://www.mathsstudents.leeds.ac.uk/careers-employment/exemption-from-professional-exams.html

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

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

Delivery typeNumberLength hoursStudent hours
Lecture221.0022.00
Tutorial71.007.00
Private study hours71.00
Total Contact hours29.00
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

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


Coursework
Assessment typeNotes% of formal assessment
In-course AssessmentExercise Sheets15.00
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 typeExam duration% of formal assessment
Standard exam (closed essays, MCQs etc)2 hr 00 mins85.00
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: 26/04/2017

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