Introduction to Quantitative Finance

Module Overview

Financial derivatives will be examined using a continuous-time approach, examining the relevant partial differential equations and boundary conditions in a number of different problems. The solution method will also be examined, using a mix of analytical and computational methods.

Learning Outcomes

By the end of the module you should be able to:

• Write down the governing partial differential equations and boundary conditions for a range of financial derivative problems
• Solve the relevant partial differential equations arising from the study of some financial derivative problems using analytical and computational methods
• Demonstrate an understanding of how mathematics, and in particular discrete mathematics, is used in the financial sector
• Demonstrate a comprehensive knowledge beyond the taught syllabus from personal exploration of the subject

Credits

10 credits

Teaching Methods

22 hours of lectures (2 hours weekly)
5 hours of backup classes

Assessment

Will be specified by the lecturer in the first week of term.