28 July 2023
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. 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.
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.
Dr Zuzana Hucki
School of Science and Technology
The course is ideal for business students who want to improve their mathematical understanding, and mathematics students who are considering a career in Finance.
after studying on this course you should be able to:
• Demonstrate understanding of the role of mathematics in modern financial markets
• Evaluate, select and implement appropriate option pricing and risk management techniques
• Analyse standard models of financial market behaviour within a discrete and continuous time context
• Understand and evaluate the assumptions in financial maths modelling
• Apply mathematical knowledge to concrete financial problems
The course will be taught by lectures, seminars, and Scale-up workshops, and will be problem-solving based. The workshops will be used to develop the knowledge and understanding of the different mathematical models. You will work both individually and in groups to solve problems and present solutions.
Assessment: group presentation and a multiple-choice examination paper.
10 UK Credit / 5 ECTS. You will receive a certificate and an official NTU transcript of results with your credits recorded.
GBP 1200: £1080 Early-bird discount if paid by 30 April 2023. Tuition fee includes course materials, our exciting social and cultural programme, support from our friendly team of student buddies, use of our GSS Hub with free drinks, and a trip to the beautiful city of York.
GBP : You will stay in on-campus accommodation offering single en-suite rooms on a self-catering basis with shared kitchen and living spaces, kitchen and bedding packs and 24-hour security/reception cover. The fee will be confirmed very soon.
An early-bird discount if tuition fee payment is received by 30 April 2023. A further discount is offered to groups of 10+ students travelling from the same University.