2021/22 Undergraduate Module Catalogue
MATH2535 Financial Mathematics: Risk
10 creditsClass Size: 300
Module manager: Dr Konstantinos Dareiotis
Taught: Semester 1 (Sep to Jan) View Timetable
Year running 2021/22
Pre-requisite qualificationsLUBS1285 or MATH1712
This module is approved as a discovery module
Module summaryThis 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.
ObjectivesThis 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.
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.
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.
|Delivery type||Number||Length hours||Student hours|
|Private study hours||80.00|
|Total Contact hours||20.00|
|Total hours (100hr per 10 credits)||100.00|
Private studyStudy and revision of course material
Completion of assignments and assessments
Opportunities for Formative FeedbackCoursework assignments and tutorials
Methods of assessment
|Assessment type||Notes||% of formal assessment|
|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.
|Exam type||Exam duration||% of formal assessment|
|Open Book exam||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 listThe reading list is available from the Library website
Last updated: 31/03/2022 13:10:29
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