MATH30380 Financial Mathematics Foundations

Academic Year 2022/2023

This module is an introduction to the probability theory underlying modern financial mathematics, in particular the background necessary to understand the Black-Scholes formula for pricing call and put options. Topics to be covered include: probability measures, Borel measurable functions, conditional expectations, call and put options.

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Curricular information is subject to change

Learning Outcomes:

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 Hours: 
Student Effort Type Hours
Autonomous Student Learning

60
Lectures

36
Tutorial

12
Total

108
Approaches to Teaching and Learning:
Lectures, tutorials, enquiry and problem-based learning. 
Requirements, Exclusions and Recommendations
Learning Requirements:

Students must have passed either MATH10130 or MATH10060 or be taking either MST20040 or MATH20170.


Module Requisites and Incompatibles
Equivalents:
Foundations for Financial Math (MATH20180)


 
Assessment Strategy  
Description Timing Open Book Exam Component Scale Must Pass Component % 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

Carry forward of passed components
No
 
Resit In Terminal Exam
Autumn Yes - 2 Hour
Please see Student Jargon Buster for more information about remediation types and timing. 
Feedback Strategy/Strategies

• Group/class feedback, post-assessment

How will my Feedback be Delivered?

Not yet recorded.

Timetabling information is displayed only for guidance purposes, relates to the current Academic Year only and is subject to change.
 
Spring
      
Lecture Offering 1 Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Fri 09:00 - 09:50
Practical Offering 1 Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Fri 14:00 - 14:50
Lecture Offering 1 Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Tues 16:00 - 16:50
Lecture Offering 1 Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Wed 12:00 - 12:50
Spring