Mathematics of Financial Derivatives - MACT8370

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Module delivery information

Location Term Level1 Credits (ECTS)2 Current Convenor3 2022 to 2023
Canterbury
Year 7 15 (7.5) Pradip Tapadar checkmark-circle

Overview

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.

The additional 4 contact hours for level 7 students will be devoted to applications of the principles of option pricing techniques, valuation methods and hedging techniques for complex financial derivative concepts.

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

Details

Contact hours

Total contact hours: 40
Private study hours: 110
Total study hours: 150

Method of assessment

70% Exam, 30% Coursework

The coursework mark alone will not be sufficient to demonstrate the student's level of achievement on the module.

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

On successfully completing the module students will be able to:
1 describe, interpret and discuss key aspects and concepts involved in the mathematics of financial derivatives;
2 demonstrate the capability to deploy established approaches accurately to analyse and solve complex problems using a high level of skill in calculation and manipulation
of financial derivatives;
3 demonstrate an 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;
4 apply the principles of mathematics of financial derivatives to complex financial instruments.

Notes

  1. Credit level 7. Undergraduate or postgraduate masters level module.
  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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