Mathematical Finance I

Course category:

3rd year

Module code:

0590209

Year:

2011/12

Term:

Autumn

Credits:

Lecturer:

Professor Stephen Donkin

Aims

The aim of the module is to present classical mathematical approaches to portfolio selection and asset pricing in discrete time.

Learning objectives

At the end of the module you should be be familiar with:

Syllabus

Recommended texts

Core Texts for Finance I and II:

M. Capinski and T. Zastawniak, Mathematics for Finance. An Introduction to Financial Engineerin, Springer (G 2.01 CAP)
M.J. Seele, Stochastic Calculus and Financial Applications, Springer (S 9.3 STE)
M. Baxter and A Rennie, Financial Calculus: An introduction to derivative pricing, Cambridge University Press (G 2.01 BAX) only for Finance II

Supplementary/Additional Texts for Finance I and II:

J. Cvitanic and F. Zapatero, Introduction to the Economics and Mathematics of Financial Markets (G 2.01 CUI)
P. Wilmott, Paul Wilmott introduces Quantitative Finance, Wiley (G 2.01 WIL)
P. Wilmott, Paul Wilmott on Quantitative Finance (2 vols), Wiley (G 2.01 WIL)
S. Benninga, Financial Modeling (G 2.01 BEN)
C. H. Huang and R. H. Litzenberger., Foundations for Financial Economics (G 2.6 HUA)
S. R. Pliska, Introduction to Mathematical Finance, Blackwell (G 0.182 PLI)
J. E. Ingersoll, Theory of Financial Decision Making, Rowman and Allanheld (G 2.01 ING) only for Finance I

Teaching

Assessment

Students taking Mathematical Finance I and II: three hour closed examination towards the end of the Summer Term (90%).

Students taking only Mathematical Finance I take part of the paper in a one and a half hour examination (90%).

Coursework 10%. Note that coursework submitted after the advertised deadlines will be given a mark of zero.

Elective information

This module is not available as an elective.

Prerequisites