Key information
- Faculty
- Faculty of Engineering Sciences
- Teaching department
- Mechanical Engineering
- Credit value
- 15
- Restrictions
-
In order to be eligible to select this module, a student must 鈥媌e registered on a programme for which it is a formally-approved option or elective choice AND must have a good understanding of basic probability and differential equations.
- Timetable
-
Alternative credit options
There are no alternative credit options available for this module.
Aims:
This module introduces the applied mathematical and computational aspects of Quantitative Finance;
Learning outcomes:
On successful completion of the module, a student will be able to successfully apply the necessary probability and differential equation based approach to the pricing of financial derivatives; using both quantitative and numerical techniques;
Course content:
A practical mathematical finance course centering on probability and differential equation approaches to price financial derivatives; starting with an overview of financial products and markets. Delta hedging and no arbitrage is introduced via the Binomial model. Stochastic calculus is presented which serves as a starting point for the Black-Scholes framework; both European options and early exercises features are detailed. The relevant PDE and simulation based computational schemes are studied. Further advanced topics in fixed income (using stochastic interest rates) and exotic options are also presented.
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
-
80%
Exam
20%
Fixed-time remote activity
- Mark scheme
-
Numeric Marks
The methods of assessment for affiliate students may be different to those indicated above. Please contact the department for more information.
Other information
- Number of students on module in previous year
-
22
- Module leader
-
Dr Carolyn Phelan
- Who to contact for more information
- mecheng.pg-queries@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
-
80%
Exam
20%
Fixed-time remote activity
- Mark scheme
-
Numeric Marks
The methods of assessment for affiliate students may be different to those indicated above. Please contact the department for more information.
Other information
- Number of students on module in previous year
-
21
- Module leader
-
Dr Carolyn Phelan
- Who to contact for more information
- mecheng.pg-queries@ucl.ac.uk
Last updated
This module description was last updated on 8th April 2024.
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