Mathematics of Financial Derivatives - MA537

Location Term Level Credits (ECTS) Current Convenor 2019-20
Canterbury Spring
View Timetable
6 15 (7.5) DR P Tapadar


Pre-requisites: MAST5007 Mathematical Statistics





The aim of this module is to provide a grounding in the principles of modelling as applied to actuarial work – focusing particularly on the valuation of financial derivatives. These skills are also required to communicate with other financial professionals and to critically evaluate modern financial theories.

Indicative topics covered by the module include theories of stochastic investment return models and option theory.

This module will cover a number of syllabus items set out in Subject CM2 – Actuarial Mathematics published by the Institute and Faculty of Actuaries.


This module appears in:

Contact hours

36 hours

Method of assessment

80% Examination, 20% Coursework

Indicative reading

Hull, John, Options, futures and other derivatives, 7th Edition, Prentice Hall.
Baxter, Martin; Rennie, Andrew, Financial calculus : an introduction to derivative pricing, Cambridge University Press, 1996
Study notes published by the Actuarial Education Company for Subject CM2.

See the library reading list for this module (Canterbury)

Learning outcomes

The intended subject specific learning outcomes. On successfully completing the level 6 module students will be able to:

1 describe, interpret and discuss the mathematics of financial derivatives;
2 demonstrate the capability to deploy established approaches accurately to analyse and solve problems using a basic level of skill in calculation and manipulation of financial derivatives;
3 demonstrate a basic appreciation of recent developments in the mathematics of financial derivatives and the links between the theory of the mathematics of financial derivatives and its practical application.

The intended generic learning outcomes. On successfully completing the level 6 module students will be able to:

1 use a logical mathematical approach to solve problems;
2 solve problems and communicate in writing effectively to both a technical and non-technical audience;
3 manage their time and work independently.

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