2019/20 Taught Postgraduate Module Catalogue
MATH5330M Continuous Time Finance
15 creditsClass Size: 90
Module manager: Dr Miryana Grigorova
Email: TBC
Taught: Semester 2 (Jan to Jun) View Timetable
Year running 2019/20
This module is mutually exclusive with
| MATH3733 | Stochastic Financial Modelling |
This module is not approved as an Elective
Objectives
This module develops a general methodology for the pricing of financial assets in risky financial markets based oncontinuous-time models.
On completion of this module, students will be able to:
- demonstrate an understanding of continuous-time stochastic processes
- interpret a stochastic differential equation and its solution
- understand the log-normal asset pricing model
- apply Ito's formula
- derive the Black-Scholes formula
- understand the arbitrage principle and its application to securities pricing
- explain state prices and the concept of equivalent martingale measures
- show an understanding of term-structure models
Syllabus
Prices of financial securities are often adequately described by continuous-time stochastic processes derived from a Brownian motion. This module will cover the fundamental continuous-time models of financial markets and the necessary mathematical tools for their analysis. The students will learn to apply stochastic calculus for pricing securities such as options
and interest rate derivatives in arbitrage-free markets.
This module is devoted to continuous-time stochastic processes, stochastic differential equations, Ito's formula, Black-Scholes formula, principle of arbitrage in continuous-time models, state prices, equivalent martingale measures and term-structure (interest rate) models.
On completion of this module the student will be familiar with the basic theory, tools and terminology of continuous-time financial mathematics and will be able to apply the models and techniques to analyse real world situations.
Teaching methods
| Delivery type | Number | Length hours | Student hours |
| Lecture | 11 | 2.00 | 22.00 |
| Seminar | 11 | 1.00 | 11.00 |
| Private study hours | 117.00 | ||
| Total Contact hours | 33.00 | ||
| Total hours (100hr per 10 credits) | 150.00 | ||
Private study
- 6 hours per lecture: 60 hours- 4 hours per tutorial: 40 hours
- Preparation for assessment: 20 hours
Opportunities for Formative Feedback
Progress will be monitored by contributions made to tutorials; and there will be an informal test in about week 5.Methods of assessment
Exams
| Exam type | Exam duration | % of formal assessment |
| Standard exam (closed essays, MCQs etc) | 3 hr 00 mins | 100.00 |
| Total percentage (Assessment Exams) | 100.00 | |
The resit for this module will be 100% by 3 hours examination
Reading list
The reading list is available from the Library websiteLast updated: 05/11/2019 08:50:03
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