Financial Mathematics

This course focuses on mathematical models of loans, stocks prices and option pricing.

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The course will cover investment strategies and portfolio management.

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.

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The course will be problem-solving based.

Course Details

Location: Clifton Campus

Starting: 6 July 2020

Course Duration: Two weeks

Credits: 10 UK / 5 ECTS

Fee: £1,100 / £990 with early payment discount

How to Book

Download our application form and follow our step-by-step guide on how to apply.

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