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NQF credits: 30 at HEQSF level 9

Course convener: Professor DR Taylor

Course entry requirements: Acceptance into MPhil in Mathematical Finance.

Course outline:

This course develops more sophisticated computational skills required for pricing contingent claims. This is accomplished through a combination of lectures and computer-based practical sessions in which candidates implement the techniques learned. The course will cover implementing term structure and stochastic rates, finite difference techniques, Fourier techniques, American options, local and stochastic volatility models and credit risk.

DP requirements: An average of at least 70% for practical session grades.


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

Last updated : 13 Apr 2015

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