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NQF credits: 0 at HEQSF level 9

Course convener: Professor DR Taylor

Course entry requirements: Acceptance into MPhil in Mathematical Finance.

Course outline:

The course comprise two main sections: An introduction to asset pricing and theoretical models in finance, including expected utility and risk, risk aversion, mean-variance analysis, efficient frontier, CAPM and Arrow-Debreu pricing; and, An introduction to derivative securities, including forwards/futures and options, hedging and speculation, valuation principles, model-free no-arbitrage relations and an introduction to pricing options based on the Black-Scholes method.

DP Requirements: None.

Assessment: Final examination: 100%

Last updated : 13 Apr 2015





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