Mathematics of Financial Derivatives - MACT5370

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Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2024 to 2025
Spring Term 6 15 (7.5) Pradip Tapadar checkmark-circle


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.


Contact hours

Total contact hours: 36
Private study hours:114
Total study hours: 150

Method of assessment

80% Examination, 20% Coursework

Indicative reading

Hull, John, Options, Futures and other derivatives, 8th Edition, Prentice Hall, 2012.
Baxter, Martin; Rennie, Andrew, Financial Calculus: an introduction to derivative pricing, Cambridge University Press, 1996 (E-book version also available)
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.


  1. Credit level 6. Higher level module usually taken in Stage 3 of an undergraduate degree.
  2. ECTS credits are recognised throughout the EU and allow you to transfer credit easily from one university to another.
  3. The named convenor is the convenor for the current academic session.
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