2013/14 Taught Postgraduate Module Catalogue

MATH5300M Applied Financial Modelling

15 creditsClass Size: 100

Module manager: Dr Mauro Mobilia
Email: M.Mobilia@leeds.ac.uk

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2013/14

Pre-requisite qualifications

A good knowledge of calculus will be assumed

This module is not approved as an Elective

Module summary

The course aims to provide an introduction to the mathematics of financial derivatives. The course will cover the differential equations, stochastic models and quantitative methods needed to understand the Black-Scholes formulae.

Objectives

On completion of this module, students should be able to:

1. recognise ordinary and partial differential equations.
2. understand random variables and probability distributions.
3. interpret a stochastic differential equation and its solution.
4. understand the log-normal asset price model used in finance.
5. use the Ito formula in simple examples.
6. be familiar with the Black-Scholes formula.
7. understand the arbitrage principle and how it is used to calculate a fair price for options.

Syllabus

The course aims to provide an introduction to the mathematics of financial derivatives. The course will cover the differential equations, stochastic models and quantitative methods needed to understand the Black-Scholes formulae.

Teaching methods

Delivery type	Number	Length hours	Student hours
Lecture	10	2.00	20.00
Tutorial	10	1.00	10.00
Private study hours			120.00
Total Contact hours			30.00
Total hours (100hr per 10 credits)			150.00

Private study

40 hours - Reading
60 hours - Mathematical exercises
20 hours - Exam preparation

Opportunities for Formative Feedback

Mathematical exercises will be given each week, to be discussed the following week.

Methods of assessment

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	2 hr 30 mins	100.00
Total percentage (Assessment Exams)		100.00

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: 17/02/2014

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