Financial Engineering

Module code: MTH7027P

Credits: 15.0
Semester: SEM2

Contact: Prof Ilya Goldsheid

This module covers advanced techniques in financial engineering, which are essential if you want to pursue jobs in financial institutions. We first study the discrete-time binomial model for asset pricing, introducing some more formal concepts such as conditional expectations. Then we look at continuous time models, and use the tools of stochastic calculus to derive the Black-Scholes equation. We 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.

Connected course(s): UDF DATA
Assessment: 80.0% Examination, 20.0% Coursework
Level: 7