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

Module Overview

To intoduce the students 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. 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.

Learning Outcomes

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

  • Demonstrate knowledge and understanding of interest rate derivative products and bonds, and also other advanced topics in Mathematical Finance
  • Solve mathematical problems in the pricing of various derivative products

  • Explore these topics beyond the taught syllabus


10 credits

Teaching Methods

22 hours of lectures 
5 hours of example classes


Will be specified by the lecturer in the first week of term.