Advanced Option Pricing

Module code: MN3129

This module will introduce you to advanced option pricing concepts.

You'll look at the role of the Wiener Process, martingales, Ito’s Lemma and Markov chains in finance, and calculate these with the use of basic statistical concepts.

Learning

  • 10 hours of lectures
  • 4 hours of seminars
  • 86 hours of guided independent study

Assessment

  • Exam, 1 hour (100%)