Introduction to Quantitative Finance
Module Title - Introduction to Quantitative Finance
Number of credits – 10
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.
By the end of the module you will be able to:
- Write down the governing partial differential equations and boundary conditions for a range of financial derivative problems;
- Solve the relevant partial differential equations arising from the study of some financial derivative problems using analytical and computational methods;
- Demonstrate an understanding of how mathematics and in particular discrete mathematics is used in the financial sector;
- Demonstrate a comprehensive knowledge beyond the taught syllabus from personal exploration of the subject.
Teaching and assessment:
- Assessment: 10% Continuous Assessment , 90% Examination.
- Semester 1.