Introduction to Quantitative Finance

Module Title - Introduction to Quantitative Finance
Number of credits – 10

Module description

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.