Mathematical Models in Finance and Industry (832G1)

15 credits, Level 7 (Masters)

Spring teaching

In this module we study how partial differential equations arise in real-world problems of the financial industry. We derive and solve the Black-Scholes equation for pricing of financial options. In addition, we develop central concepts of discrete and continuous time models of financial markets and analyse numerical methods for such problems, including their stability analysis.

Teaching

94%: Lecture
6%: Practical (Workshop)

Assessment

100%: Written assessment (Report)

Contact hours and workload

This module is approximately 150 hours of work. This breaks down into about 33 hours of contact time and about 117 hours of independent study. The University may make minor variations to the contact hours for operational reasons, including timetabling requirements.

We regularly review our modules to incorporate student feedback, staff expertise, as well as the latest research and teaching methodology. We’re planning to run these modules in the academic year 2022/23. However, there may be changes to these modules in response to COVID-19, staff availability, student demand or updates to our curriculum. We’ll make sure to let our applicants know of material changes to modules at the earliest opportunity.