Introduction to Quantitative Finance
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 should 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
22 hours of lectures (2 hours weekly)
5 hours of backup classes
Will be specified by the lecturer in the first week of term.