Level of study Third/Final year
Credit value 20
Semester Students may study either 1, 2 or both.
Pre-requisite modules 22488
Semester 1: Financial derivatives will be examined using a continuous-time approach, examining the relevant partial differential equations and boundary conditions in a number of different problems. The solution method will also be examined, using a mix of analytical and computational methods.
Semester 2: A range of discrete time financial models will be analysed. This will include mainly (but not exclusively) the return of assets and their volatility, two-asset and multi-asset portfolio optimisation and various investment models such as options, futures and bonds.