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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2015/2016

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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Asset Pricing (MATH11078)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) AvailabilityAvailable to all students
SCQF Credits10 ECTS Credits5
SummaryAims: To provide solid mathematical foundations for pricing derivative products in financial
markets, highlighting the points where the idealized and the realistic diverge.

Syllabus:

- Risk-neutral valuation of contingent claims. Pricing PDEs.

- Some important option types in the Black-Scholes setting. Parameter sensitivity (Greeks).

- Incomplete markets, pricing and hedging.

- The term structure of interest rates: short rate models (Vasicek, CIR) and the HJM framework.

- Pricing of credit derivatives.
Course description Not entered
Entry Requirements (not applicable to Visiting Students)
Pre-requisites Co-requisites
Prohibited Combinations Other requirements None
Information for Visiting Students
Pre-requisitesNone
Course Delivery Information
Not being delivered
Learning Outcomes
Familiarity with the fundamental tools of no-arbitrage pricing (Girsanov change of measure, martingale representation). Knowledge of most important option types (European, American, exotic). Familiarity with the PDE methodology for computing option prices. Understanding the essentials of short rate and forward rate models (i.e. HJM). Familiarity with the basic credit derivatives and with the problems in their pricing (default sensitivity).
Reading List
None
Additional Information
Course URL http://student.maths.ed.ac.uk
Graduate Attributes and Skills Not entered
KeywordsAP
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email:
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)51 4351
Email:
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