Module manager: Dr Graham Murphy
Email: G.J.Murphy@leeds.ac.uk
Taught: Semester 2 (Jan to Jun) View Timetable
Year running 2018/19
| MATH2530 | Financial Mathematics 2 |
| LUBS3160 | Financial Derivatives |
MATH2525
This module is approved as a discovery module
This module extends the range of topics covered in Financial Mathematics 1 and 2 and introduces the theory of option pricing which is continued in some level 3 modules. After completing the module you will have a basic understanding of calculating option prices in discrete time. Moreover, you will study some simple asset pricing models and basic concepts in risk management, including the definition of risk measures commonly used in many applications.
This module provides an introduction to several topics relating to financial assets including option pricing and the construction of optimal portfolios. The module also introduces basic principles of portfolio risk management with a focus on common measures of risk.
On completion of this module, students should be able to understand and price certain option contracts; understand how to construct optimal portfolios of assets; and define and calculate risk measures.
1. Theories of financial market behaviour
2. Mean-variance portfolio theory
3. Options pricing (in discrete time)
4. Optimal investment and simple asset pricing models
5. Risk measures and risk management
| Delivery type | Number | Length hours | Student hours |
|---|---|---|---|
| Lecture | 22 | 1 | 22 |
| Practical | 4 | 1 | 4 |
| Tutorial | 5 | 1 | 5 |
| Private study hours | 69 | ||
| Total Contact hours | 31 | ||
| Total hours (100hr per 10 credits) | 100 | ||
Study and revision of course material
Completion of assignments and assessments
Coursework assignments and tutorials
| Assessment type | Notes | % of formal assessment |
|---|---|---|
| Computer Exercise | To be based on use of spreadsheet software. | 15 |
| Assignment | Traditional written assignment. | 5 |
| Total percentage (Assessment Coursework) | 20 | |
Coursework will consist of exercises to be completed using spreadsheet software with the possibility of an accompanying report. It is anticipated that there will also be at least one written assignment. There is no resit available for the coursework component of this module. If the module is failed, the coursework mark will be carried forward and added to the resit exam mark with the same weighting as listed above.
| Exam type | Exam duration | % of formal assessment |
|---|---|---|
| Standard exam (closed essays, MCQs etc) | 2.0 Hrs 0 Mins | 80 |
| Total percentage (Assessment Exams) | 80 | |
Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated
The reading list is available from the Library website
Last updated: 3/20/2018
Errors, omissions, failed links etc should be notified to the Catalogue Team