This module is not currently running in the selected year. The information shown below is for the academic year that the module was last running in, prior to the year selected.
2019/20 Undergraduate Module Catalogue
MATH2530 Financial Mathematics 2
10 creditsClass Size: 240
Module manager: Dr Elena Issoglio
Email: E.Issoglio@leeds.ac.uk
Taught: Semester 1 (Sep to Jan) View Timetable
Year running 2019/20
Pre-requisite qualifications
(MATH1510 or LUBS1035) and (MATH1710 or MATH1715 or LUBS1280)Module replaces
MATH2515This module is approved as a discovery module
Module summary
This module provides an introduction to new topics related to financial assets and liabilities. Completing this module will equip you with the ability to price derivatives using the principle of "no-arbitrage" and to understand the development of financial liabilities, or debts, in the context of insurance claims. The module will also introduce the idea of financial "ruin" and the probability of this occurring.Objectives
This module provides an introduction to several topics relating to financial assets including stochastic interest rates, arbitrage and derivative contracts. The module also introduces the study of financial liabilities in the context of insurance including ruin theory and the evolution of claims.Learning outcomes
On completion of this module, students should be able to understand the role of different financial assets, the principle of no-arbitrage pricing and be able to apply these concepts to the valuation of forward contracts and other derivatives. In addition, students will be able to project analyse financial liabilities and compute the probability of ruin under specific circumstances.
Syllabus
1. Introduction to financial investments, financial assets
2. Forward contracts. No-arbitrage pricing of forward and futures contracts (without and with dividends).
3. Futures contracts and swaps.
4. An introduction to ruin theory.
5. Claims development in insurance.
Teaching methods
Delivery type | Number | Length hours | Student hours |
Lecture | 22 | 1.00 | 22.00 |
Practical | 4 | 1.00 | 4.00 |
Tutorial | 5 | 1.00 | 5.00 |
Private study hours | 69.00 | ||
Total Contact hours | 31.00 | ||
Total hours (100hr per 10 credits) | 100.00 |
Private study
Study and revision of course materialCompletion of assignments and assessments
Opportunities for Formative Feedback
Coursework assignments and tutorialsMethods of assessment
Coursework
Assessment type | Notes | % of formal assessment |
Computer Exercise | To be based on use of spreadsheet software. | 15.00 |
Assignment | Traditional written assignment. | 5.00 |
Total percentage (Assessment Coursework) | 20.00 |
Coursework will consist of exercises to be completed using spreadsheet software with the possibility of an accompanying report. It is anticipated that there will also be at least one written assignment. 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 | 80.00 |
Total percentage (Assessment Exams) | 80.00 |
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 websiteLast updated: 05/11/2019 08:50:07
Browse Other Catalogues
- Undergraduate module catalogue
- Taught Postgraduate module catalogue
- Undergraduate programme catalogue
- Taught Postgraduate programme catalogue
Errors, omissions, failed links etc should be notified to the Catalogue Team.PROD