Studying at York
Mathematical Finance I - MAT00015H
- Department: Mathematics
- Credit value: 10 credits
- Credit level: H
- Academic year of delivery: 2022-23
Related modules
Pre-requisite modules
Co-requisite modules
- None
Prohibited combinations
- None
Module will run
| Occurrence | Teaching period |
|---|---|
| A | Autumn Term 2022-23 |
Module aims
To present classical mathematical approaches to portfolio selection and asset pricing in discrete time.
Module learning outcomes
-
Basic discrete time market models.
-
The rationale behind portfolio selection in discrete time.
-
Main ideas behind pricing of forward contracts and options in discrete time.
Module content
Syllabus
-
Introduction: What is Mathematical Finance?
-
Discrete time market models.
-
No-arbitrage principle.
-
Portfolio selection.
-
CAPM
-
Forward contracts.
-
European options.
Indicative assessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 100 |
Special assessment rules
None
Indicative reassessment
| Task | % of module mark |
|---|---|
| Closed/in-person Exam (Centrally scheduled) | 100 |
Module feedback
Current Department policy on feedback is available in the undergraduate student handbook. Coursework and examinations will be marked and returned in accordance with this policy.
Indicative reading
M Capinski and T Zastawniak, Mathematics for Finance; An Introduction to Financial Engineering, Springer.