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NQF credits: 30 at HEQSF level 9

Course convener: Associate Professor DR Taylor

Course entry requirements: Acceptance into MPhil in Mathematical Finance.

Course outline:

This course develops applications of the basic concepts and methods of mathematical finance. This is accomplished through a combination of lectures and tutorials, in which candidates learn to implement the techniques. The course will cover numeraire changes, interest rate models and derivatives (both pricing and hedging), exotic derivative pricing and hedging and stochastic credit, volatility and market models.

DP requirements: None.


  • Final examination 60%
  • Assignments and class test(s) 40%

Last updated : 13 Apr 2015

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