25839 Mathematics of Finance

Faculty of Business: Finance and Economics
Credit points: 6 cp

Subject level: Postgraduate

Result Type: Grade and marks

Requisite(s): 35365 Stochastic Calculus in Finance
There are also course requisites for this subject. See access conditions.

Handbook description

This subject introduces the theory of mathematical finance with applications in derivative pricing, portfolio optimisation and risk management. Techniques of no-arbitrage pricing in finance and financial mathematics are explored. Theoretical problems involving hedging derivatives and change of probability measures and portfolio optimisation are formulated and solved.