Math Models in Finance & Industry (832G1)
Mathematical Models in Finance and Industry
Module 832G1
Module details for 2023/24.
15 credits
FHEQ Level 7 (Masters)
Module Outline
In this module we study how partial differential equations arise in real-world problems of the financial industry. We derive and solve the Black-Scholes equation for pricing of financial options. In addition, we develop central concepts of discrete and continuous time models of financial markets and analyse numerical methods for such problems, including their stability analysis.
Module learning outcomes
Basic understanding of how the advection-diffusion equations arise in the modelling of the transport of a pollutant and the pricing of options.
Familiarity with formulae for solutions of the advection equation and the diffusion equation.
Knowledge of numerical methods for such problems, including their stability analysis.
| Type | Timing | Weighting |
|---|---|---|
| Report (1500 words) | Spring Semester Week 7 Thu 16:00 | 50.00% |
| Report (1500 words) | Semester 2 Assessment Week 1 Tue 16:00 | 50.00% |
Timing
Submission deadlines may vary for different types of assignment/groups of students.
Weighting
Coursework components (if listed) total 100% of the overall coursework weighting value.
| Term | Method | Duration | Week pattern |
|---|---|---|---|
| Spring Semester | Lecture | 2 hours | 11111111111 |
| Spring Semester | Lecture | 1 hour | 11111111111 |
| Spring Semester | Workshop | 2 hours | 00000000001 |
How to read the week pattern
The numbers indicate the weeks of the term and how many events take place each week.
Dr Kirsten Leslie
Convenor, Assess convenor
/profiles/245989
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