Financial Mathematics 2
Module code: MA7072
Module co-ordinator: Sergey Utev
This module together with Financial Mathematics 1 will develop probabilistic tools to enable investors to value financial derivatives. It covers continuous time theory of financial derivatives pricing (Black-Merton-Scholes model, European and American options, stock and option prices, exotic options, swaps) based on stochastic calculus (Ito integrals, stochastic differential equations, Ito’s formula, Kolmogorov’s equations, Girsanov’s transformation). Interest rate modelling and fixed income securities. Financial risks. Greeks. Risk management. Basics of portfolio insurance risks.
- 33 one-hour lectures
- 11 one-hour seminars
- Exam, three hours (100%)
MA7071 - Financial Mathematics I