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MST30030

Academic Year 2024/2025

Financial Mathematics (MST30030)

Subject:
Mathematical Studies
College:
Science
School:
Mathematics & Statistics
Level:
3 (Degree)
Credits:
5
Module Coordinator:
Dr Neil Dobbs
Trimester:
Spring
Mode of Delivery:
On Campus
Internship Module:
No
How will I be graded?
Letter grades

Curricular information is subject to change.

This module introduces financial and commodity derivatives markets and their most commonly traded securities. Securities such as forwards, futures and options have been traded on exchanges, as well as ‘over the counter’, for decades. The emphasis of this module is on the pricing of such derivative securities. We start by looking at future and forward contracts to understand their properties and differences and determine how to value them. After a detailed study of the different types of options, the valuation method of binomial trees (based on the Cox, Ross and Rubenstein paper of 1979) is discussed. We then study the model of a share price evolution introduced by Black, Scholes and Merton in 1973, and derive the Black-Scholes model for valuing European call and put options on a non-dividend-paying stock. A brief introduction to probability theory is also provided in the course.

About this Module

Learning Outcomes:

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 Hours:
Student Effort Type Hours
Lectures

24
Tutorial

11
Specified Learning Activities

25
Autonomous Student Learning

40
Total

100

Approaches to Teaching and Learning:
Lectures, tutorials, enquiry and problem-based

Requirements, Exclusions and Recommendations
Learning Requirements:

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.

Learning Recommendations:

STAT20110


Module Requisites and Incompatibles
Not applicable to this module.
 

Assessment Strategy
Description Timing Component Scale Must Pass Component % of Final Grade In Module Component Repeat Offered
Exam (In-person): Final exam End of trimester
Duration:
2 hr(s)
 Standard conversion grade scale 40% No
70
 No
Exam (In-person): Mid-term Week 7, Week 8 Standard conversion grade scale 40% No
30
 No

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

• Feedback individually to students, post-assessment
• Group/class feedback, post-assessment

How will my Feedback be Delivered?

Not yet recorded.

Name Role
Dr Conor Finnegan Lecturer / Co-Lecturer
Mr Peter Neamti Tutor

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 Thurs 10:00 - 10:50
Spring Lecture Offering 1 Week(s) - 20, 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Wed 13:00 - 13:50
Spring Tutorial Offering 1 Week(s) - 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Thurs 13:00 - 13:50
Spring Tutorial Offering 2 Week(s) - 21, 22, 23, 24, 25, 26, 29, 30, 31, 32, 33 Tues 13:00 - 13:50
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