Introduction to Financial Mathematics

MATH20912 Introduction to Financial Mathematics 10 Semester 2 Undergraduate Level 2 Thomas Bernhardt Unit coordinator Department of Mathematics 1 FHEQ level (Framework for Higher Education Qualifications) ' Middle part of Bachelors ' European Credit Transfer & Accumulation System Rating : 5.0 This course is intended to serve as a basic introduction to financial mathematics. It gives a mathematical perspective on the valuation of financial instruments (futures, options, etc.) and their risk-management. The purpose of the course is to introduce students to the stochastic techniques employed in derivative pricing. This course is intended to serve as a basic introduction to financial mathematics. It gives a mathematical perspective on the valuation of financial instruments (futures, options, etc.) and their risk-management. The purpose of the course is to introduce students to the stochastic techniques employed in derivative pricing. This unit aims to introduce fundamental concepts for modelling financial markets, finding optimal investment portfolios, and pricing and hedging derivatives   On completion of this unit successful students will be able to: • describe standard financial market models for bonds and stocks  • calculate mutual fund and investment portfolios based on a mean-variance criterion  • apply the no-arbitrage principle to derive mathematical formulas for cashflow values, investment, and pricing  • explain and use selected features of practical concern like coupons/dividends, payoff diagrams, or Greeks     The syllabus of the course is:1. Bonds and Stocks [4]2. The no-arbitrage principle [2]3. Mean variance investment [4]4. Pricing of forwards and options [4]5. The binomial tree model [4]6. The Black-Scholes model [4]    -Lectures are the entire cohort in one room together-Fortnightly tutorials discuss problem sheets in smaller classes  1 Written exam 100% Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding.  Coursework or in-class tests (where applicable) also provide an opportunity for students to receive feedback.  Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour. N 1) J. Cvitanic & F. Zapatero (2004): Introduction to the Economics and Mathematics of Financial Markets, MIT Press.2) J. Hull (2008): Options, Futures and Other Derivatives, 11th Edition, Pearson.   Lectures 12 Tutorials 12 0 76