16 July 2021
Explore the role of mathematics in modern financial markets.
This course is devoted to the study of how financial markets operate. It concentrates on mathematical models of loans, stocks prices and option pricing in the discrete and continuous time context.
The course will cover:
Applications of geometric series – annuities, sinking funds, mortgage and debt repayments;
Investment strategies – the no-arbitrage principle, fundamental theorem of asset pricing;
Portfolio management – mean-variance optimisation, and the efficient frontier;
Options – general properties, put/call parity, bounds on option prices, option pricing using the binomial model – the Cox-Ross-Rubinstein formula;
The Black-Scholes formula for pricing derivatives;
Financial engineering – the Greeks, delta hedging, delta-gamma hedging, delta-vega hedging, bear, bull and butterfly spreads.
This course will be taught by lectures, seminars and Scale-up workshops, and will be problem-solving based. You will work both individually and in groups to solve problems and present your solutions. Assessment is by group presentation and a multiple-choice examination paper.
This course is ideal for Mathematics students who have completed first or second year of their studies with no knowledge of Finance or Financial Mathematics.
You will be introduced to a range of basic concepts and assumptions which are central to financial mathematics, such as viability, completeness, the arbitrage principle, self-financing and replication.
10 UK Credits / 5 ECTS
GBP 1100: A 10% early-bird discount is available on this tuition fee for students who apply and pay by 31st March 2021. Apply for two courses (4 weeks) and receive a 20% tuition fee discount off your second course!
GBP 370: On-campus accommodation for two-weeks in a single room with ensuite facilities and shared kitchen and living space. For off-campus accommodation (10 minute walk) the price is £290 for two-weeks - as above rooms are single, ensuite with shared kitchen and living spaces. Both accommodations have 24 hour security.