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Durham University

Postgraduate Module Handbook 2021/2022

Archive Module Description

This page is for the academic year 2021-22. The current handbook year is 2022-23

Department: Mathematical Sciences

MATH40920: Mathematical Finance

Type Tied Level 4 Credits 20 Availability Available in 2021/22
Tied to G1K509 Mathematical Sciences


  • Probability


  • None

Excluded Combination of Modules

  • None


  • Mathematical Finance.


  • 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.
  • Reading material on a topic related to: American options (obstacle problems, free boundary problems), Exotic options, Historical volatility.

Learning Outcomes

Subject-specific Knowledge:
  • By the end of the module students will: have an understanding of basic option theory and Black-Scholes models.
  • Will have an advanced understanding in one of the following areas: American options, Exotic options or Historical Volatility.
Subject-specific Skills:
  • Students will have skills in Partial Differential Equations and Finance.
Key Skills:
  • Students will have developed an appreciation of, and ability in, mathematical modelling in the financial world. Students will also have developed independent learning of an advanced topic.

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.
  • Subject material assigned for independent study develops the ability to acquire knowledge and understanding without dependence on lectures.
  • Students do regular formative work solving problems to gain insight into the details of relevant theories and procedures.
  • Summative examination assesses acquired knowledge, problem-solving skills and a range of modellig and computational skills. The subject material assigned for independent study will form part of the examined material.

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
Preperation 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 or electronic 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