NQF credits: 0 at HEQSF level 9
Course convener: Professor DR Taylor
Course entry requirements: Acceptance into MPhil in Mathematical Finance.
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