Module code: MTH6155
Credits: 15.0
Semester: SEM2
Contact: Prof Ilya Goldsheid
Overlap: In taking this module you cannot take MTH6112
Prerequisite: Before or while taking this module you must take MTH6141 and take MTH6154
This module covers advanced ideas in financial mathematics, building on the foundational material in FM1. We revisit the discrete-time binomial model, introducing some more formal concepts such as conditional expectations that allow us to express our earlier results in a more elegant form. Then we look at continuoustime models, and use the tools of stochastic calculus to derive the Black-Scholes equation which we then solve explicitly for the prices of European call and put options. We also consider some more advanced applications, such as models for stock prices involving jumps and stochastic volatility, as well as interest rate models and credit risk models.
Connected course(s): UDF DATA
Assessment: 80.0% Examination, 20.0% Coursework
Level: 6
