MAS2501 : Financial Mathematics (Inactive)
- Inactive for Year: 2024/25
- Module Leader(s): Dr Michael Dritschel
- Owning School: Mathematics, Statistics and Physics
- Teaching Location: Newcastle City Campus
Semesters
Your programme is made up of credits, the total differs on programme to programme.
| Semester 1 Credit Value: | 10 |
| ECTS Credits: | 5.0 |
| European Credit Transfer System | |
Aims
To enable students to acquire active knowledge and understanding of some basic concepts in financial mathematics including discrete stochastic models for stocks and pricing of contingent claims.
Module summary
This course is intended to serve as a basic introduction to financial mathematics. It gives a mathematical perspective on the valuation of financial instruments (futures, options, etc.) and their risk-management.
Outline Of Syllabus
Time value of money, types of interest. Overview of basic concepts in securities markets. Stochastic models for stock prices. Hedging strategies. Binomial option pricing model. Risk-neutral valuation, replication and pricing of contingent claims. Black-Scholes analysis. Interest rate models.
Teaching Methods
Teaching Activities
| Category | Activity | Number | Length | Student Hours | Comment |
|---|---|---|---|---|---|
| Guided Independent Study | Assessment preparation and completion | 1 | 4:00 | 4:00 | Revision for class test |
| Scheduled Learning And Teaching Activities | Lecture | 2 | 1:00 | 2:00 | Revision lectures |
| Guided Independent Study | Assessment preparation and completion | 1 | 13:00 | 13:00 | Revision for unseen exam |
| Scheduled Learning And Teaching Activities | Lecture | 26 | 1:00 | 26:00 | Formal lectures |
| Guided Independent Study | Assessment preparation and completion | 1 | 2:00 | 2:00 | Unseen exam |
| Scheduled Learning And Teaching Activities | Lecture | 1 | 1:00 | 1:00 | Class test |
| Scheduled Learning And Teaching Activities | Lecture | 3 | 1:00 | 3:00 | Problem classes |
| Scheduled Learning And Teaching Activities | Drop-in/surgery | 4 | 1:00 | 4:00 | Tutorials in the lecture room |
| Scheduled Learning And Teaching Activities | Drop-in/surgery | 12 | 0:10 | 2:00 | Office hours |
| Guided Independent Study | Independent study | 1 | 14:30 | 14:30 | Studying, practising and gaining understanding of course material |
| Guided Independent Study | Independent study | 5 | 2:30 | 12:30 | Review of coursework assignments and course test |
| Guided Independent Study | Independent study | 4 | 4:00 | 16:00 | Preparation for coursework assignments |
| Total | 100:00 |
Teaching Rationale And Relationship
Lectures are used for the delivery of theory and explanation of methods, illustrated with examples, and for giving general feedback on marked work. Problem Classes are used to help develop the students’ abilities at applying the theory to solving problems. Tutorials are used to identify and resolve specific queries raised by students and to allow students to receive individual feedback on marked work. In addition, office hours (two per week) will provide an opportunity for more direct contact between individual students and the lecturer: a typical student might spend a total of one or two hours over the course of the module either individually or as part of a group.
Assessment Methods
The format of resits will be determined by the Board of Examiners
Exams
| Description | Length | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|---|
| Written Examination | 120 | 1 | A | 85 | N/A |
| Written Examination | 40 | 1 | M | 5 | Class test |
Other Assessment
| Description | Semester | When Set | Percentage | Comment |
|---|---|---|---|---|
| Prob solv exercises | 1 | M | 10 | Coursework assignments |
Assessment Rationale And Relationship
A substantial formal unseen examination is appropriate for the assessment of the material in this module. The coursework assignments will consist of two written assignments and two computer based assessments of approximately equal weight. The coursework assignments and the (in class, therefore 40 minute) coursework test allow the students to develop their problem solving techniques, to practise the methods learnt in the module, to assess their progress and to receive feedback; these assessments have a secondary formative purpose as well as their primary summative purpose.
Reading Lists
Timetable
- Timetable Website: www.ncl.ac.uk/timetable/
- MAS2501's Timetable