This course focuses on mathematical models of loans, stocks prices and option pricing.
Explore the role of mathematics in modern financial markets!
This course is devoted to the study of how financial markets operate. It concentrates on mathematical models of loans, stocks prices and option pricing in the discrete and continuous time context.
You will be introduced to a range of basic concepts and assumptions which are central to financial mathematics, such as viability, completeness, the arbitrage principle, self-financing and replication.
The course will cover:
- Applications of geometric series – annuities, sinking funds, mortgage and debt repayments;
- Investment strategies – the no-arbitrage principle, fundamental theorem of asset pricing;
- Portfolio management – mean-variance optimisation, and the efficient frontier;
- Options – general properties, put/call parity, bounds on option prices, option pricing using the binomial model – the Cox-Ross-Rubinstein formula;
- The Black-Scholes formula for pricing derivatives;
- Financial engineering – the Greeks, delta hedging, delta-gamma hedging, delta-vega hedging, bear, bull and butterfly spreads.
This course will be taught by lectures, seminars and Scale-up workshops, and will be problem-solving based. You will work both individually and in groups to solve problems and present your solutions. Assessment is by group presentation and a multiple-choice examination paper.
This course is ideal for Mathematics students who have completed first or second year of their studies with no knowledge of Finance or Financial Mathematics. You should have the required English language skills.
Location: Clifton Campus
Starting: 8 July 2019
Course Duration: Two weeks
Credits: 10 UK / 5 ECTS
Early bird discount applies to students who pay their tuition fee before 31st March 2019:
Early bird discount fee
If you are interested in booking as a group of 10 or more, please contact us for more information and package prices.
Application deadline 1st June 2019
- Full social and evening events programme, supported by NTU student buddies
- At least one weekend visit to one UK city or other attraction (maximum of three trips available for those on the four-week programme)
- NEW for 2019 - English Conversation Cafe
- NEW for 2019 - An end of course ‘Summer School Showcase’ at which student work is exhibited to NTU students, staff and summer school students
- Access to NTU’s Global Lounges and services, including a free international lunch and week-day refreshments
- An Employability / Alumni session
- A GSS T-shirt
- Certificate of completion and a transcript of results
How to Book
Please download and complete the application form, and email it to the Global Summer School team:
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