## MATH2545 Financial Mathematics: Markets

### 10 creditsClass Size: 210

Module manager: Khoa Le
Email: K.Le@leeds.ac.uk

Taught: Semester 2 (Jan to Jun) View Timetable

Year running 2022/23

### Pre-requisites

 MATH1712 Probability and Statistics II

Module replaces

MATH2525

This 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

 Delivery type Number Length hours Student hours Lecture 22 1.00 22.00 Practical 4 1.00 4.00 Tutorial 5 1.00 5.00 Private study hours 69.00 Total Contact hours 31.00 Total hours (100hr per 10 credits) 100.00

### Private study

Study and revision of course material
Completion of assignments and assessments

### Opportunities for Formative Feedback

Coursework assignments and tutorials

### Methods of assessment

Coursework
 Assessment type Notes % of formal assessment In-course Assessment . 20.00 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.

Exams
 Exam type Exam duration % of formal assessment Standard exam (closed essays, MCQs etc) 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