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Faculty Handbook 2022-2023

Module Description

Please ensure you check the module availability box for each module outline, as not all modules will run each academic year.

Department: Mathematical Sciences

MATH3301: MATHEMATICAL FINANCE III

Type Level Credits Availability Module Cap Open 3 20 Available in 2022/23 Durham

Prerequisites

• Probability II (MATH2647)

Corequisites

• One 20 credit Level 3 mathematics module.

Aims

• To provide and introduction to the mathematical modelling of financial derivative products.

Content

• An introduction to options and markets.
• Asset price random walks.
• The Black-Scholes model.
• Partial Differential Equations.
• The Black-Scholes formulae.
• Variations on the Black-Scholes model.

Learning Outcomes

Subject-specific Knowledge:
• By the end of the module students will: have an understanding of basic option theory and Black-Scholes models.
Subject-specific Skills:
• Students will have skills in Partial Differential Equations and Finance.
Key Skills:
• Moreover, students will have developed an appreciation of, and ability in, mathematical modelling in the financial world.

Modes of Teaching, Learning and Assessment and how these contribute to the learning outcomes of the module

• Teaching is by lectures through which the main body of knowledge is made available.
• Students do regular formative work solving problems to gain insight into the details of relevant theories and procedures.
• End of year examination to assess the learning.

Teaching Methods and Learning Hours

Activity Number Frequency Duration Total/Hours Lectures 42 2 per week for 20 weeks and 2 in term 3 1 Hour 42 Problems Classes 8 Four in each of terms 1 and 2 1 Hour 8 Preparation and Reading 150 Total 200

Summative Assessment

Component: Examination Component Weighting: 100%
Element Length / duration Element Weighting Resit Opportunity
Written examination 3 hours 100%

Formative Assessment:

Eight written assignments to be assessed and returned. Other assignments are set for self-study and complete solutions are made available to students.

Attendance at all activities marked with this symbol will be monitored. Students who fail to attend these activities, or to complete the summative or formative assessment specified above, will be subject to the procedures defined in the University's General Regulation V, and may be required to leave the University