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Curricular information is subject to change
On completion of this module the student should be able to:
- Define what is meant by Forward and Future contract, describe their properties and their differences, determine their price.
- Define what is meant by European and American call and put options and describe their properties.
- Describe the Binomial Tree Method of pricing options and apply it to price a given option under certain conditions.
- Describe in detail the model of stock price behavior assumed by Black, Scholes and Merton.
- Derive the Black-Scholes model for valuing European call and put options on a non-dividend-paying stock.
Student Effort Type | Hours |
---|---|
Lectures | 24 |
Tutorial | 11 |
Specified Learning Activities | 25 |
Autonomous Student Learning | 40 |
Total | 100 |
Students should have a knowledge of introductory analysis (e.g. MST20040) and should have completed a course in the Calculus of Several Variables at the level of MATH20060.
STAT20110
Resit In | Terminal Exam |
---|---|
Autumn | Yes - 2 Hour |
• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment
Not yet recorded.
Name | Role |
---|---|
Dr Conor Finnegan | Lecturer / Co-Lecturer |
Mr Peter Neamti | Tutor |