Physics Methods in Finance (F3062)

15 credits, Level 6

Spring teaching

The module will cover topics including:

  • Efficient market hypothesis 
  • Random walk 
  • Levy stochastic processes and limit theorems
  • Scales in financial data
  • Stationarity and time correlation
  • Time correlation in financial time series
  • Stochastic models of price dynamics
  • Scaling and its breakdown
  • ARCH and GARCH processes
  • Financial markets and turbulence
  • Correlation and anti-correlation between stocks
  • Taxonomy of a stock portfolio
  • Options in idealised markets (to include Black & Scholes formula)
  • Options in real markets


69%: Lecture
31%: Practical (Workshop)


20%: Coursework (Problem Set)
80%: Examination (Unseen examination)

Contact hours and workload

This module is 150 hours of work. This breaks down into 36 hours of contact time and 114 hours of independent study.

This module is running in the academic year 2019/20. We also plan to offer it in future academic years. It may become unavailable due to staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of such changes to modules at the earliest opportunity.