This course is available on the BSc in Financial Mathematics and Statistics, BSc in Mathematics and Economics and BSc in Mathematics with Economics. This course is available as an outside option to students on other programmes where regulations permit. This course is available with permission to General Course students.
This course is available on the BSc in Financial Mathematics and Statistics, BSc in Mathematics and Economics and BSc in Mathematics with Economics. This course is available as an outside option to students on other programmes where regulations permit. This course is available with permission to General Course students.
This course is delivered through a combination of classes and lectures totalling a minimum of 30 hours across ?Lent Term. This year, apart from pre-recorded lecture videos, there will be a weekly live online session of an hour. Depending on circumstances, classes might be online.?
Written answers to set problems will be expected on a weekly basis.
Lecture notes will be provided. The following books may be useful. T. Bjork, Arbitrage Theory in Continuous Time, Oxford Finance, 2004; A. Etheridge, A Course in Financial Calculus, CUP, 2002; M Baxter & A Rennie, Financial Calculus, CUP, 1996; P. Wilmott, S. Howison & J. Dewynne, The Mathematics of Financial Derivatives, CUP, 1995; J Hull, Options, Futures and Other Derivatives, 6th edition, Prentice-Hall, 2005. D. Lamberton & B. Lapeyre, Introduction to stochastic calculus applied to finance, 2nd edition, Chapman & Hall, 2008. S. E. Shreve, Stochastic Calculus for Finance. Volume I: The Binomial Asset Pricing Model.?Springer, New York, 2004. S. E. Shreve, Stochastic Calculus for Finance. Volume II: Continuous-Time Models. Springer, New York, 2004.
Exam (100%, duration: 2 hours) in the summer exam period.