2020/21 Undergraduate Module Catalogue

MATH2535 Financial Mathematics: Risk

10 creditsClass Size: 300

Module manager: Dr Konstantinos Dareiotis
Email: K.Dareiotis@leeds.ac.uk

Taught: Semester 1 (Sep to Jan) View Timetable

Year running 2020/21

Pre-requisite qualifications

LUBS1285 or MATH1712

Module replaces

MATH2530

This 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

Private study hours			69.00
Total Contact hours			0.00
Total hours (100hr per 10 credits)			69.00

Private study

Study and revision of course material
Completion of assignments and assessments

Opportunities for Formative Feedback

Coursework assignments and tutorials

Methods of assessment

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

Reading list

The reading list is available from the Library website

Last updated: 14/10/2020 17:20:47

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