Studying at York
Financial Engineering - ECO00017M
- Department: Economics and Related Studies
- Credit value: 10 credits
- Credit level: M
- Academic year of delivery: 2022-23
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Spring Term 2022-23 to Summer Term 2022-23 |
Module aims
Providing the students with an exhaustive background in pricing financial assets and derivatives using stochastic differential equations.
Showing how to use various computer softwares (mainly Matlab) to have a deeper understanding of the theoretical models covered in the lectures.
Module learning outcomes
Information currently unavailable
Indicative assessment
| Task | % of module mark |
|---|---|
| Online Exam -less than 24hrs (Centrally scheduled) | 100 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Online Exam -less than 24hrs (Centrally scheduled) | 100 |
Module feedback
Information currently unavailable
Indicative reading
The modle is based on the lecture notes. The material in the lecture notes is a synthesis of various texts and a number of specialist papers in this area that will be provided in due course.
In particular reference is made to:
Hull, J.C., Options, Futures and other Derivatives, Prentice Hall, 5th Edition, 2003 (or later editions).
Although not necessary, a furhter useful reading would be:
Bjork, T., Arbitrage Theory in Continuous Time, Oxford University Press, 1998 (or later editions).