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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2011/2012
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Postgraduate Course: Discrete-Time Finance (MATH11075)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Course typeStandard AvailabilityAvailable to all students
Credit level (Normal year taken)SCQF Level 11 (Postgraduate) Credits15
Home subject areaMathematics Other subject areaFinancial Mathematics
Course website None Taught in Gaelic?No
Course descriptionTo 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 Co-requisites
Prohibited Combinations Other requirements None
Additional Costs None
Information for Visiting Students
Pre-requisitesNone
Displayed in Visiting Students Prospectus?Yes
Course Delivery Information
Delivery period: 2011/12 Semester 1, Not available to visiting students (SS1) WebCT enabled:  Yes Quota:  None
Location Activity Description Weeks Monday Tuesday Wednesday Thursday Friday
King's BuildingsLecture5215, JCMB1-11 11:10 - 12:00
First Class Week 1, Monday, 11:10 - 12:00, Zone: King's Buildings. 5215, JCMB
Exam Information
Exam Diet Paper Name Hours:Minutes
Main Exam Diet S1 (December)MSc Financial Maths Discrete Time Finance2:00
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
None
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
KeywordsDTF
Contacts
Course organiserDr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk
Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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© Copyright 2011 The University of Edinburgh - 16 January 2012 6:25 am