Last modified: 05 Aug 2021 13:04
This course is a part of the MSc programme in Financial Mathematics. It is concerned with financial mathematical models in continuous time. The main topic is the Black-Scholes-Merton model from both theoretical and practical perspective.
| Study Type | Postgraduate | Level | 5 |
|---|---|---|---|
| Term | Second Term | Credit Points | 15 credits (7.5 ECTS credits) |
| Campus | Aberdeen | Sustained Study | No |
| Co-ordinators |
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The course is a continuation of the course on discrete time models and introduces the continuous time models of financial markets. It is mostly concerned with Black-Scholes-Merton model and introduces mathematical tools needed for the model and introduces mathematical tools needed for the model and carefully derives the Black-Scholes-Merton pricing formulas. It also discusses the shortcomings of the Black-Scholes-Merton model.
Information on contact teaching time is available from the course guide.
Two homework projects:
Asessment 1 (40%)
Asessment 2 (60%)
Alternative Resit Arrangements for students taking course in Academic Year 2020/21
Resubmission of failed elements.
There are no assessments for this course.
| Knowledge Level | Thinking Skill | Outcome |
|---|---|---|
| Factual | Remember | Not Available |
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