Postgraduate Course: Discrete-Time Finance (MATH11075)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Available to all students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 15 |
| Home subject area | Mathematics |
Other subject area | Financial Mathematics |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | To introduce, in a discrete time setting, the basic probabilistic ideas and results needed for the later stochastic process and derivative pricing courses. By the end of the course students will be expected to understand discrete martingale theory and its relationship with financial concepts such as arbitrage. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Information for Visiting Students
| Pre-requisites | None |
| Displayed in Visiting Students Prospectus? | Yes |
Course Delivery Information
| Not being delivered |
Summary of Intended Learning Outcomes
- identify and solve problems involving conditional expectation
- demonstrate a thorough understanding of the Cox-Ross-Rubinstein binomial model and apply it to option pricing problems
- demonstrate an understanding of the role of the risk-neutral pricing measure
- demonstrate an understanding of the main aspects of discrete-time martingale theory
- demonstrate an understanding of the Doob's Optional Stopping Theorem
- critical understanding of the Cox-Ross-Rubinstein model
- conceptual understanding of the role of the risk-neutral pricing measure
- conceptual understanding of the role of equivalent martingale measures in financial mathematics
- conceptual understanding of the Optional Stopping problem. |
Assessment Information
| Examination - 100% |
Special Arrangements
| MSc Financial Mathematics and MSc Financial Modelling and Optimization students only. |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | DTF |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: |
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