Asset Pricing in Continuous Time (Masters level) (MATH0085)

Key information

Faculty: Faculty of Mathematical and Physical Sciences
Teaching department: Mathematics
Credit value: 15

Restrictions: N/A
Timetable

Alternative credit options

There are no alternative credit options available for this module.

Description

The course introduces the notion of No-Arbitrage Pricing and stochastic calculus necessary for modern Financial Mathematics. Derivation of the Back-Scholes partial differential equation, which is solved using classical techniques (heat equation), are shown. Financial applications are emphasized and shortcomings of the Black-Scholes framework are examined in great detail. Extensions, including stochastic volatility models, are presented. The Feynman-Kac connection between diffusions and PDEs is emphasized.

The aims of this course are to:

1. Introduce concepts of stochastic calculus in finance

2. Pricing and hedging of derivative instruments

3. Shortcomings (and proposed solutions) of the Black-Scholes model

4. Gain a solid understanding of key financial concepts from both a mathematical and financial viewpoint

Module deliveries for 2024/25 academic year

Intended teaching term: Term 1 听听听 Postgraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Methods of assessment: 100% Exam
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 29
Module leader: Dr Neofytos Rodosthenous
Who to contact for more information: maths.mscteaching@ucl.ac.uk

Intended teaching term: Term 1 听听听 Undergraduate (FHEQ Level 7)

Teaching and assessment

Mode of study: In person
Methods of assessment: 100% Exam
Mark scheme: Numeric Marks

Other information

Number of students on module in previous year: 3
Module leader: Dr Andrea Macrina
Who to contact for more information: maths.mscteaching@ucl.ac.uk

Last updated

This module description was last updated on 8th April 2024.

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Important information

The catalogue has been updated with key information about the modules that will run during the 2024/25 academic session. Current and prospective students can browse through the catalogue to consider possible module choices for the coming year.

Please note,听information in the catalogue is听subject to change as teaching and assessment arrangements for 2024/25 may need to be adjusted in line with the University's Feedback and Assessment principles and operating model.

Centrally managed exam durations will be provided on students' individual exam timetables. Arrangements for locally managed exams and in-class activity will be confirmed by the teaching department for the module.

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