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14 NQF credits at HEQSF level 8

Course entry requirements: ECO4006F, ECO4007F and ECO4016F for Economic Honours students. PPE (and other) students who do not have to complete the core as part of their degree requirements may be granted permission to register for this elective at the discretion of the Head of Department.

Course outline:

Economics of arbitrage and martingale pricing, derivatives markets; binomial model, introduction to Ito calculus, Black-Merton-Scholes analysis; bond market basics introduction to interest rate derivatives; mean-variance analysis, Capital Asset Pricing Model, multi-factor models and Arbitrage Pricing Model, stochastic discount factor; asymmetric information and limits to arbitrage.

DP requirements: None.

Assessment: Coursework consisting of tests and essays50%; examination 50%.

Last updated : 19 Apr 2018





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