Postgraduate Course: Asset Pricing (MATH11078)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Available to all students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 10 |
| Home subject area | Mathematics |
Other subject area | Financial Mathematics |
| Course website |
http://student.maths.ed.ac.uk |
Taught in Gaelic? | No |
| Course description | Aims: To provide solid mathematical foundations for pricing derivative products in financial
markets, highlighting the points where the idealized and the realistic diverge.
Syllabus:
- Risk-neutral valuation of contingent claims. Pricing PDEs.
- Some important option types in the Black-Scholes setting. Parameter sensitivity (Greeks).
- Incomplete markets, pricing and hedging.
- The term structure of interest rates: short rate models (Vasicek, CIR) and the HJM framework.
- Pricing of credit derivatives. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Information for Visiting Students
| Pre-requisites | None |
| Displayed in Visiting Students Prospectus? | Yes |
Course Delivery Information
| Not being delivered |
Summary of Intended Learning Outcomes
| Familiarity with the fundamental tools of no-arbitrage pricing (Girsanov change of measure, martingale representation). Knowledge of most important option types (European, American, exotic). Familiarity with the PDE methodology for computing option prices. Understanding the essentials of short rate and forward rate models (i.e. HJM). Familiarity with the basic credit derivatives and with the problems in their pricing (default sensitivity). |
Assessment Information
| 100% examination |
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 |
| Keywords | AP |
Contacts
| Course organiser | Dr Sotirios Sabanis
Tel: (0131 6)50 5084
Email: S.Sabanis@ed.ac.uk |
Course secretary | Mrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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