Asset Pricing in Continuous Time (Masters level) (MATH0085)

Key information

Faculty: Faculty of Mathematical and Physical Sciences
Teaching department: Mathematics
Credit value: 15

Restrictions: N/A
Timetable

Alternative credit options

There are no alternative credit options available for this module.

Description

The course introduces the notion of No-Arbitrage Pricing and stochastic calculus necessary for modern Financial Mathematics. Derivation of the Back-Scholes partial differential equation, which is solved using classical techniques (heat equation), are shown. Financial applications are emphasized and shortcomings of the Black-Scholes framework are examined in great detail. Extensions, including stochastic volatility models, are presented. The Feynman-Kac connection between diffusions and PDEs is emphasized.

The aims of this course are to:

1. Introduce concepts of stochastic calculus in finance

2. Pricing and hedging of derivative instruments

3. Shortcomings (and proposed solutions) of the Black-Scholes model

4. Gain a solid understanding of key financial concepts from both a mathematical and financial viewpoint

Module deliveries for 2024/25 academic year

Intended teaching term: Term 1 听听听 Postgraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Methods of assessment: 100% Exam
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 29
Module leader: Dr Neofytos Rodosthenous
Who to contact for more information: maths.mscteaching@ucl.ac.uk

Intended teaching term: Term 1 听听听 Undergraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Methods of assessment: 100% Exam
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 3
Module leader: Dr Andrea Macrina
Who to contact for more information: maths.mscteaching@ucl.ac.uk

Last updated

This module description was last updated on 8th April 2024.

听

911爆料网