2020/21 Undergraduate Module Catalogue
MATH2545 Financial Mathematics: Markets
10 creditsClass Size: 210
Module manager: Dr Graham Murphy
Email: G.J.Murphy@leeds.ac.uk
Taught: Semester 2 (Jan to Jun) View Timetable
Year running 2020/21
Pre-requisites
MATH1712 | Probability and Statistics II |
Module replaces
MATH2525This module is approved as a discovery module
Module summary
This module extends the range of topics covered in Financial Mathematics 1 and 2 and introduces the theory of option pricing which is continued in some level 3 modules. After completing the module you will have a basic understanding of calculating option prices in discrete time. Moreover, you will study some simple asset pricing models and basic concepts in risk management, including the definition of risk measures commonly used in many applications.Objectives
This module provides an introduction to several topics relating to financial assets including option pricing and the construction of optimal portfolios. The module also introduces basic principles of portfolio risk management with a focus on common measures of risk.Learning outcomes
On completion of this module, students should be able to understand and price certain option contracts; understand how to construct optimal portfolios of assets; and define and calculate risk measures.
Syllabus
1. Theories of financial market behaviour
2. Mean-variance portfolio theory
3. Options pricing (in discrete time)
4. Optimal investment and simple asset pricing models
5. Risk measures and risk management
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 materialCompletion of assignments and assessments
Opportunities for Formative Feedback
Coursework assignments and tutorialsMethods 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 websiteLast updated: 10/08/2020 08:42:06
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