Advanced Quantitative Finance: Crashes, Volatility, Multiple Assets and Hedging

Module Title - Advanced Quantitative Finance: Crashes, Volatility, Multiple Assets and Hedging
Number of credits - 10

Module description

To introduce the student to the pricing of more advanced derivative products in Mathematical Finance, and to examine more advanced solution methods.

Advanced derivative products of the kind often used in reality will be examined in more detail. This will include examining options not considered previously, but also looking in more detail at derivative products already studied in the Mathematical Finance module. This may include topics such as: energy, weather and insurance derivatives; credit derivatives; market crashes; multi-asset options; interest rate derivatives.

More advanced numerical methods for the solution of option pricing problems will also be examined. This module should better prepare students for a career in Mathematical Modelling in Finance, including a broader background in the trading of derivatives and options.

By the end of the module you will be able to:

  • demonstrate knowledge and understanding of interest rate derivative products and Bonds, and other advanced topics in Mathematical Finance;
  • solve mathematical problems in the pricing of various derivative products;
  • explore these topics beyond the taught syllabus.

Teaching and assessment:

  • Assessment:  10% Continuous Assessment, 90% Final Examinations.
  • Semester 2.
  • 22 hours of lectures, 5 hours of examples classes.