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The student will be able to calculate simple option prices and to hedge call and put options. Students apply basic probability models, averages and expected values, and use conditional probabilities and conditional expectations.
Indicative Module Content:Arbitrage and Mathematical Game Theory, Options, Sigma-Fields, Measurable Functions, Measures, Lebesgue Integrals, Probability Spaces, Expected Value, Conditional Expectation, Martingales, the Black-Scholes Formula for Call Options
Student Effort Type | Hours |
---|---|
Lectures | 36 |
Tutorial | 12 |
Autonomous Student Learning | 60 |
Total | 108 |
Students must have passed either MATH10130 or MATH10060 or be taking either MST20040 or MATH20170.
Description | Timing | Component Scale | % of Final Grade | ||
---|---|---|---|---|---|
Continuous Assessment: Midterm Exam | Week 7 | n/a | Standard conversion grade scale 40% | No | 25 |
Examination: 2 hour end of Trimester Exam | 2 hour End of Trimester Exam | No | Standard conversion grade scale 40% | No | 75 |
Resit In | Terminal Exam |
---|---|
Autumn | Yes - 2 Hour |
• Group/class feedback, post-assessment
Not yet recorded.