## MATH2535 Financial Mathematics: Risk

### 10 creditsClass Size: 300

Module manager: Dr Elena Hernandez
Email: M.E.Hernandez-Hernandez@leeds.ac.uk

Taught: Semester 1 (Sep to Jan) View Timetable

Year running 2023/24

### 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

 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